Agreed, that was a sad moment. Also, Arya chasing off Nymeria was very sad
Having said that, I don't think the series has focused a huge amount on the Direwolves - we've had glimpses of them, and obviously this episode has a lot of Nymeria in it (and Summer), but they've haven't made as big of a thing of them as I thought they would.
Also, why haven't we even seen Rickon yet? We've had Rob mention him, but I'm surprised there's not been an onscreen appearance. Same goes for Theon, he's been onscreen and had some dialogue, but if you didn't already know who he was, you'd have to wonder what he was doing with the Starks.