1. Roose Bolton is an undead creature who steals faces and nails them onto his own.
This theory, referred to as “Bolt-ON” (get it, he bolts them on) is only sort of a joke. The Bolton family preference for removing people’s skin is oddly specific, and lots of emphasis in the books in placed on how Roose Bolton never seems to age.
An extra-scary version of the Bolt-on theory says that Roose is keeping Ramsay around solely to harvest his skin.
2. Syrio Forel is Jaqen H’ghar
According to this theory, the Faceless Men have been keeping an eye on Arya Stark since long before she left King’s Landing. Syrio’s death is never explicitly depicted in the books or the show, and seeing as he is from Braavos it’s possible he has a connection to the House of Black and White.
Jaqen already seems familiar with Arya when they meet, which implies that he already knew who she was before she freed him from the burning carriage.
3. Bran accidentally cannibalized Jojen Reed.
While hanging out north of the Wall in that giant weirwood, Bran is fed a paste made up allegedly of weirwood seeds. There is something red floating in the broth, and Bran worries that it looks a lot like blood. This theory states that it IS blood, specifically the blood of Jojen Reed, who is increasingly weakened by his stay in the tree and disappears from the text after Bran drinks the paste.