In both the books and the TV show, Stannis Baratheon is believed to have met his end following the battle with Ramsay Bolton.

Recently, on his LiveJournal, George R.R. Martin answered a fan's question to confirm that, in his books, Stannis is alive.

There has been repeated speculation about whether Stannis is in fact dead, primarily due to the failure of the typically brutally violent show to actually show his death.
However, in a Comic-Con panel in July, the director of the episode, David Nutter, confirmed that the intention was that he was dead.

In the books, Stannis appears to be dead, after Jon recieves the "pink letter" at Castle Black, which details how Ramsay has smashed Stannis's army, and lists threats against the Night's Watch, and Jon.
Tormund Giantsbane is read the letter, which he dismisses as "a skin o’ lies.” Jon disagrees however, pointing out that there must be truth in there.