Warning: Game of Thrones finale spoilers are ahead.
Game of Thrones season 8 was not particularly kind to Grey Worm. He suffered the loss of his love Missandei and of his queen Daenerys. But, his ending on the finale was better than most. Grey Worm is going to Naath on Game of Thrones and it's a sweet way for him to keep his love for Missandei alive. It's also just a much better place to be than Westeros after being at war for so long and seeing so many terrible things happen.
In the Game of Thrones books, Naath is known as the Isle of Butterflies, and the people of the island nation are incredibly peaceful. They spend their time making music and eating fruit. They're all vegetarian. Because of their pacifist nature, they are often captured as slaves. This seems to be a cycle Grey Worm intends to put an end to by taking his army there. It's actually his way of keeping of a promise he made to Missandei at the beginning of the season.
In episode 2, Grey Worm asked what Missandei wanted to do when the war was over and Daenerys had won. "When Daenerys takes her throne there will be no place for us here," Grey Worm said. "I am loyal to my queen. I will fight for her until her enemies are defeated, but when the war is over and she has won, do you want to grow old in this place? Is there nothing else you want to do, nothing else you want to see?" Missandei told him she would like to go back to her home of Naath. "I'd like to see the beaches again," she said. She warned that her people were peaceful and could not protect themselves. Grey Worm promised to bring the Unsullied with him to protect all the citizens of Naath.
As of the end of the series, that seems to be exactly what Grey Worm is doing. He may not be getting his happy ending with Missandei since Cersei executed her, but he will keep alive Missandei's hope that her people will be protected. He will get to live where his love grew up and be surrounded by her people. He will honor her memory by ensuring that no slavers can capture any more of her family and friends.
If Daenerys had lived, Grey Worm would not have been able to keep this promise he made to Missandei to go to Naath and protect her home. Before her death, Dany named Grey Worm the Commander of her army, and she said they would not stop fighting until everyone in the world was liberated from tyrants. Grey Worm would have grown old fighting battle after battle, and he may have eventually died in one.
He never wanted to lose Dany or Missandei, but at least now Grey Worm gets a chance to live a happy war-free life in Missandei's beautiful beachy home. He gets to honor the woman he loved by watching over her island and its inhabitants. It's not a happy ending, because he's not with her — but it's just about as good an ending you can get on this show. Grey Worm and all of the Unsullied have fought hard and they deserve the chance to enjoy the rest of their lives. Fortunately, Naath is the best place for that.