For Melisandre, I always thought it was more than just a mere glamour. There's a section in the book when she's talking to Jon I think, when she mentions the Lord of Light sustains her. (When he asks if she's cold on top of the wall I believe.) She also muses on it herself after she asks someone for breakfast, mentioning that she doesn't need to eat, but it's better for others not to know the extent of her powers.
I think the part on the wall she touches her gem on her necklace, and I think when she is glamouring the dude burning she acts as if the gem was burning her.
I originally thought the gem was a focus point, and that her gifts give her vitality in general, requiring her to not have to sleep or eat. It seemed important to me that she relinquished the spell and then climbed into bed, as if to emphasize her doing something that is considered mundane, and unnecessary. She hadn't needed to eat or sleep prior, and now at least, we see her sleeping, and she looks old as fuck.
Thoros I think mentions something that sounds like life essence just being passed; she may just be "saving" her power. Anyways, main point is that I think it is far beyond a glamour.
And I did super hate that attempts at humor in this episode, especially between the Khal and his khalasar. Just seemed too irreverent and familiar; I didn't laugh, I rolled my eyes.