This behind-the-scenes video from HBO goes into detail about the creation of the Battle of Hardhome, and it's filled with great details about how such a large-scale moment comes to life.
You get to see the crew lining up shots with cellphone cameras, the emergency divers hiding out of frame to make sure no one drowned, and what the undead army looks like before all those green body suits are edited out of the shot.
This should also answer the question of why these huge pieces are so rare: They are incredibly expensive to create, in terms of both time and budget. Doing it right is an expensive, slow process, and videos like these give you a small look into the process.
Here are our thoughts on the final episode.