We’ve seen him as a child in flashbacks this season, but in the present timeline he disappeared back in Season 1 while north of the wall. The men he was with were both found dead, and became the wights Jon Snow saved Commander Mormont from.
It was Benjen’s disappearance and the appearance of the wights that led Mormont to take the Night’s Watch north of the wall to investigate. Which then led to Jon meeting Ygritte and the wildlings.
Basically, Benjen’s disappearance was the trigger for Jon Snow’s whole story arc. And it was Benjen’s name that Olly used to lure Jon Snow to his death at the end of season 5. All this, combined with the fact that his body has never been found, has led to a lot of people theorising about the character - and naturally, many think he is still alive.
Book readers have long held the theory that Benjen is Coldhands - an undead, hooded character we haven’t seen in the show yet. However, a note between George R. R. Martin and an editor on the manuscript for A Dance with Dragons seems to discredit that theory.