She went to India to be lady's maid to Susan. She expressed a desire to travel more and got along well with Susan (few did). We did not see her again in season 5 because according to Mrs Hughes, O'Brien remained in India and was working for the new governor's wife (plus Susan and Hugh were too poor to have servants now).
Why she left in the middle of the night without telling Cora, that I cannot answer.
Perhaps it had to do with the soap incident. She may have given into her guilt and pressure and because Bates seemed to now know of it, she must have been worried.
Such a pity. Her character was entertaining as hell and the actress was awesome :(
It would have being interesting a cameo or a visit of some sort for the final episode, though. Her reaction to everything that happened after her departure would have been priceless
What do you think?