I haven't watched it yet, but am guessing the whole Stannis screws Melisandre was (book spoilers)
just before or after the meeting with Renly, after which she goes with Davos to the castle thingy and she gives birth to the horror which goes and kills Renly, which Brienne and Cat are blamed for. I think such events were mildly alluded to in the book and you do get the suspicion that Melisandre is actually leeching off Stannis to get to a greater aim, but that is only truly identifed many books later. Like I said before, the show is deciding to focus on Melisandre as the main character in this rather than give adequate time to Stannis, which the book did to have you go "oh, these are the important people" and then give you a shock when others die.
The show did a very similar thing with a meeting between Littlefinger and Varys, in which both implied that the other was far more dangerous than any other - which is utterly giving the plot away. I mean, again, you can tell that they are behind shit, but you aren't certain they have any power until book three or so. It is poorly contrived by the show because, again, when some people are removed form the story, it is a big shock, opposed to now when you have an idea who the major string pullers are.
I think it is a choice by Martin and the others involved not to waste time building up characters you aren't supposed to care about. You keep Ned because he reveals a lot of the treachery and makes you question who to cheer for, but men like Stannis and Renly are just a means to an end.
However, overall, my wife and I agree that Stannis was poorly cast and are not liking his character. Also, I think Renly was pretty well done as he always rather aloof to the whole story, just feel that they decide to go a little TOO obvious with the homosexuality which, again, is only subtly alluded to in the books. I think there are just a few mentions of his love of finery (particularly clothes) and the whole his bride still claiming to be a virgin.