Let me begin by saying that last night's episode just blew me away. It was so amazing. I just couldn't believe a lot of the things that I saw/heard. Just WOW.
And now, I shall explain why I'm here.
I have theorized something that may or may not be possible. It first begins when young Azula enters Zuko's room telling him that their father is going to kill him by order of Azulon, who found it suitable to punish Ozai by killing his own first-born.
Zuko, as well as many of us, immmediately thought she was lying. She was simply tormenting her brother.
Ursa then enters the scene, asks what's going on, and after suspecting that Azula may be mocking her brother, she grabs her daughter's arm and specifically tells her that they need to talk.
If we skip a few scenes, we find Ursa waking Zuko, telling him that everything she did was to protect him. Then she leaves, a mysterious dark cloak covering her.
What I was theorizing was that Azula wasn't lying; Azulon really was going to kill Zuko to punish Ozai. I think that when Ursa removed her daughter from Zuko's presence, Azula told her what had happened (not willingly, of course). Ursa, loving her son more than anything, took action and killed Azulon before he had a chance to kill Zuko.
This would explain why she looked so suspicious, her eyes shifting when she (and we) heard people walking down the corridor. She simply fled.
I don't think she's dead. She's hiding somewhere...and Zuko's going to find her.
[EDIT] I just realized that someone already posted a similar theory on on avatar_fans. *feels repetive* Um. Sorry?