- Oberyn's backstory serves to show the brutality and evil of the Mountain
- He creates a contrast with Cersei, who'll do anything to protect her children, when he says "we don't hurt little girls in Dorne"
- His character is a warning from Martin about how easily anger and a hunt for revenge can consume a person and lead to their death
- He represents a small tinge of hope for Tyrion during the trial by combat which, when it's suddenly taken away, is one of the things that drives Tyrion to double-murder
- The death of Oberyn sparks the conflict between the Dornish and the Lannisters
Oberyn was a great character but died at the right time IMO. His arc was over, he got the confession he wanted and then was killed when he had nothing left to give.