It has nothing to do with the Night King being the coolest.
The Night King was the living embodiment of death and the walking representation of how trivial the Game of Thrones was. He was always the true villain just because the show didn't give him his due and much needed story he was still the ancient evil who will wipe everyone out and did not care who sat on the Iron Throne.
The same army that destroyed King Landing's and devastated the Lannisters/Golden Company got completely eviscerated by the Night King and they had an extra dragon. It showed how the living were in for a beating if they did not get their act together. Just because Cersei was demented doesn't mean she wasn't absolutely wrong because she was. Qyburn who was loyal to her until the end was scared and worried when he learned of The Wall falling, Jaime abandoned her because he knew what was needed.
Blame D&D for not treating the Night King and White Walkers the way they should've.
The problem truly is D&D rushed and botched season 7 & 8. Great score, great cinematography but terrible writing. I am not sure why HBO didn't consider continuing without D&D and the writing these last 2 seasons couldn't suffer much worse without them.