This is a fic explaining the obviously canonical details over what has happened to Stannis Baratheon in Season 4:

4X01: Two Swords:

Stannis Barathron sat down on his throne (or what he liked to call it) as he ate his favorite food for dinner: oatmeal. He was surrounded by his men (including Melisandre, but not Davos, as he was still in his time out corner). The oatmeal was dry and bitter, and not too hot or too cold. He ignored Melisandre's complaints about it not being hot enough and kept offering to burn it. Stannis could have sworn that woman was itching to burn something soon, but he would not allow it.

"You and your burning! Let the man eat his meal in peace!" Axell Florent, his brother-in-law spoke out against Melisandre.

Melisandre narrowed her eyes and crossed her arms. "I know what is to be done: we must sacrifice this man to the Great God R'hllor. With that, we will reach our destiny faster."

Stannis stared at Melisandre and chewed slowly and carefully all the while Axell Florent was protesting vehemently. The oatmeal felt paltry in his mouth and this bothered him. Stannis shrugged. "Sure, why not?"

4X02 The Lion and the Rose:

"This happened over oatmeal?" Davos Seaworth said as he tried to yell over Axell's screams of death.

"No one interrupts my oatmeal. I am the king here and we do as I command. You're only lucky that I have spared you for...whatever it is that woman saw in the flames."

Davos sighed. It was no use. He didn't know how to reach out to his king these days.

"Maybe today I can have my quiet dinner," Stannis mused as the screams stopped.

4X03: Breaker of Chains:

"It sure is boring here," Stannis said to no one in particular as he stared out into the clashing waves. It was dark and dreary outside and he didn't know if it was daytime or nighttime. He wasn't a man of change so this fit him well. "If only it could stay this way forever. Except I would be king, of course."

"Stannis! Stannis!" Davos was at the door, panting. "I have a letter for you. The news...Usurper King Joffrey Baratheon has died."

"Oh that's right, you're literate now. Wait a damned second, aren't you supposed to be in your corner? I still haven't forgotten what you did by releasing that boy."

"King Stannis, did you not hear me? Joffrey Baratheon has been killed!"

"Oh. Oh! It was the leeches, wasn't it? That woman will get a raise when I become king."

Davos wanted to smack himself and shake Stannis silly for actually believing in that stupid ritual. "While talking with your daughter, I remembered The Iron Bank of Braavos and I think this can help us reach the finances we need to conquer Westeros."

"And then we can raise Melisandre's pay?"

"No!"

"We could have a fool. Every king has his fool. I can see it now: a clown with patches on his face. We'll call him...Patchface."

"Sir Stannis," Davos said roughly. "With this money, we can buy ships and men to fight in our name and honor like the Golden Company."

"I don't like this idea."

"It's money. And you know you're the best person with money." This was a statement that rang true for both of them. Stannis wasn't very good at imagining possibilities, but he had that rare feeling of excitement and whimsy just by thinking of spending his money on bills and running errands.

"Okay, but before that, we have to go to the DMV. I need to renew my ship license. And we have to pay for the water bill. Davos, you're coming with me."

And just like that, all of Davos Seaworth's sudden excitements over Joffrey dying and the possibility of going to another land went away.

4X04: Oathkeeper:

The line at the DMV at Dragonstone was long. Davos wanted to depart as quickly as possible but Stannis shot that idea down. There was no way that Stannis would allow Davos to drive on an expired license, much less one that had too many points such as smuggling, reckless driving, speeding, and that one time he ran over that Kraken in the Narrrow Sea.

Stannis didn't mind the long wait, as he had many respects to the honorable workers at the DMV, who were meticulous and precise in their works. When he got that investment, he would be sure to pay them.

4X05: First of His Name:

Something was bothering Stannis. It wasn't that he said goodbye to the women, as he wasn't going to miss Selyse by a longshot and he knew he'd see his daughter and Melisandre again.

Stannis went to contemplate inside his cabin and as he watched the paint dry, he realized over the raucous laughter Davos and his men had over their card games did he realize that he forgot his favorite suit. Now he didn't know how he was going to convince the bankers to loan him money.

4X06: The Laws of Gods and Men:

"I know you," Davos said to Tycho.

"I know you, too," Tycho said to Davos with a sneer.

"Your brother is that man with the prominent cheekbones."

"And you're that pirate thief."

"I was a smuggler, not a pirate nor a thief, sir." The man did not take Davos' insistence on his past work very lightly.

"Loan denied," Tycho said rather coldly and took out a giant red stamp, pressed it on a yellow sheet of paper, and handed it to Stannis, who then began to walk away. Davos then went on a longwinded, yet heartfelt rant on why they should help Stannis' cause. Stannis felt rather flattered at this cause.

"Okay, I'll see what I can do. Just take a number and we'll be right with you."

"Thank you so much!" Davos said as Stannis took a number. Davos ran off, saying he had to go meet with an old friend. Stannis couldn't care less as he sat outside the waiting room.

4X07: Mockingbird:

Davos came in with his pirate friend, Salladhor Saan who kept them company. He told stories that Stannis did not want to hear in their full detail as his sexcapades made him feel uncomfortable. Stannis didn't know what to do so instead he saw the "Now Serving" and saw that they were five away from being served. This hadn't changed since they first sat down.

4X08 The Mountain and The Viper:

"So that is why you are here?" Saan said to Davos, who just finished recanting the story about the leeches after a discussion on world rituals. "So what has happened to the boy?" he asked, referring to his brother's bastard, Gendry. Stannis couldn't care less about the boy and still had that grudge against Davos for his disloyal actions.

"That's quite a good question."

The TV suddenly started up in front of them and Saan signed into his Netflix account. He explained to Davos what a Netflix was and that in a few days, his favorite show about women was to begin its second season. Davos was astounded by the advanced technology Braavos had but Saan explained that it was what having advanced finances compared to the rest of civilization did.

4X09: The Watchers on The Wall:

The newest season of Orange is the New Black came out precisely at midnight and all three men were intrigued. Stannis couldn't imagine how all of these dishonorable women were so compelling and they reminded him of Davos, in certain ways.

"Weren't we supposed to be doing something?" Davos said as the final episode ended.

Stannis gazed at the "Now Serving" counter and saw that they were on seven. They were five.

"We missed our cue," Stannis said. "Wasn't there supposed to be a battle in the North around now?" Stannis wanted to badly do what Tywin did during Blackwater and come forth and save the day. But instead he was still in Braavos. He wasn't quite sure what to do and he was only a little irritated by it.

R'llhor only knew when they'd finally get there.

So uh, is there anyone else who wants to know what happened to Gendry this season? Just saying.