OK, we warned you!
Confirmed! Theory 1: Jon Snow is (Presumably) a Targaryen
The popular Game of Thrones theory R+L=J theory proposes that Jon Snow is the child of Lyanna Stark, Ned's deceased sister, and Rhaegar Targaryen, Daenerys's older brother and the eldest son of Mad King Aerys II. And now, we know it's true ... at least, it sure looks that way, according to what we saw in the Season 6 finale. Here are the details ...
Rhaegar allegedly abducted Lyanna, who became pregnant with his child. At the end of Robert Baratheon's rebellion, Ned arrived in Dorne to rescue her, but Lyanna was already dying after giving birth.
Before Lyanna died, she entrusted Ned with a secret promise, which many believed was to keep her son (know confirmed as Jon) safe from Robert's quest to kill all Targaryens.
Remember when Tywin Lannister told Tyrion, "You're no son of mine"? What if he meant it? In the books, Daenerys' dad, the Mad King, was infatuated with Tywin's wife, Joanna. And the evidence doesn't end there ...
George R.R. Martin also describes Tyrion as looking radically different from Cersei and Jaime. Instead of the golden Lannister hair of his siblings, Tyrion is said to have blonde hair so pale it's almost white, much like the silvery hair of the Targaryens.
Tyrion is also said to have had a life-long fascination with dragons, even dreaming of them when he was younger.
One theory posits that Bran Stark's pal Meera Reed is actually Jon Snow's twin sister. On the show, the actors bear more than a passing resemblance, and in the books, they're the same age.
Howland Reed was also present at the Tower of Joy when Jon's maybe-mom Lyanna died after giving birth. Reed he would have been at the right place and the right time to adopt Meera as his own.
Ramsay and Jon are approximately the same age and both have black, curly hair. As bastards in the North, they even share a last name (at least until Roose legitimized Ramsay).
But while Jon would have inherited the Stark nobility, Ramsay got the Targaryen insanity.
However, it's unlikely that Ned would have given one of his nephews away to a miller's wife in Bolton lands, so we doubt this theory holds much weight.
"The dragon has three heads" is a well-known prophecy in Westeros. While many assume each of the heads must be a Targaryen, George R.R. Martin has stated that's not necessarily the case.
One of the dragon heads is presumably Daenerys, who's already bonded with her dragon, Drogon. But as for the other two ...
Jon and Tyrion - both of whom might be Targaryens - are the most popular picks for the remaining two dragon heads.
The Three-Eved Raven told Bran he wouldn't walk again, but that he would fly. And as Bran's warging abilities grow stronger under the Raven's tutelage, it's well within the realm of possibility that he could warg into one of Dany's dragons. Plus ...
... this could make Bran one of the three much-predicted dragon heads, even if he isn't an actual dragon rider.
When Robert Baratheon overthrew the Mad King, he killed every Targaryen he could find. But in the books, one Targaryen, Aegon, was allegedly swapped with another child by Varys and raised by Illyrio Mopatis in secret as Young Griff.
That character has yet to appear in the show - that is, unless ...
... he's a character we already know? Some fans have suggested that Samwell Tarly or Daario Naharis could secretly be Aegon, although neither are described as looking very Targaryen in appearance.
Azor Ahai is a legendary hero who defeated the Others with his flaming sword, Lightbringer, which was forged by stabbing his wife through the heart. According to the prophecy, Azor Ahai will be "reborn amidst salt and smoke" to fight the Others when they return. Plus ...
Melisandre originally believed Stannis Baratheon was the Prince That Was Promised, while many fans believe Jon Snow is the legendary hero. His death and subsequent rezzing could also lead to a very literal interpretation of the legendary hero's "rebirth."
A poor translation of the prophecy lead everyone to believe that Azor Ahai would be male. However, since dragons are neither male nor female, it's highly possible that Daenerys could be the prophesied leader. After all ...
... she was born on the island Dragonstone "amidst salt" and later reborn as the Mother of Dragons on Khal Drago's funeral pyre "amidst smoke."
In the first season, Arya's "dancing instructor," Syrio Forel, helped her escape by taking on a group of Kingsguards with a wooden training sword, but we never got confirmation of his death.
So when Arya befriended another Braavosi, Jaqen H'Ghar, many assumed the Faceless Man was the First Sword of Braavos in disguise.
... sadly, actress Maisie Williams, who plays Arya, seemingly crushed this theory when she said showrunners David Benioff and D.B. Weiss insisted to her that Syrio really is dead.
In the books, Jaqen is assumed to be the "Alchemist" who murders Pate at the Citadel before taking on Pate's identity. Balon Greyjoy is also seemingly murdered by a Faceless Man, who may or may not have been hired by Balon's brother Euron.
Regardless of whether both kills were committed by Jaqen himself, it's clear that he and the Faceless Men are interfering in the game of thrones - it's just not obvious whose side they're on, or how widespread this secret conspiracy goes.
The fifth season began with a flashback to young Cersei getting her fortune told by Maggy the Frog. The prophet warned Cersei that she'll have three children with gold crowns, but that after all of her children have died the "valonqar" (Valyrian for "little brother") will choke Cersei to death. Cersei seems to assume Tyrion is the prophesized valonqar, which explains her deep-rooted hatred of him. But ...
... her twin brother, Jaime, was born after her, putting him in the running as well. And ever since Jaime lost his hand, the pair's relationship has grown more and more complicated.
He loves his sister, but we wouldn't put it past him to kill Cersei, eventually, for the good of the kingdom, just like he once did with the Mad King.
The valonqar who kills Cersei doesn't necessarily have to be her younger brother - or even a brother at all.
High Valyrian uses the male gender when gender is actually unknown, and Maggy wasn't fluent in the language to begin with, so it's possible that Cersei's killer could be any younger sibling, from Daenerys, to Arya, to the Hound.
Although Arya left the Hound for dead after he fought with Brienne, don't expect to have seen the last of Sandor Clegane. Guest star Ian McShane confirmed that he's playing an ex-warrior-turned-peacenik who brings back, "a much-loved character who everybody thinks is dead."
While some might assume he's talking about Jon Snow, it's far more likely that McShane is referring to the Hound.
If the Hound did survive his battle with Brienne, that would give weight to the popular fan theory that suggests Sandor Clegane (The Hound) and his brother Gregor Clegane (The Mountain) will face each other at some point.
The fact that the Mountain has risen again only fuels this theory more ... though the exact circumstances of such a fight remain anyone's guess.
We've now seen the way that the Night's King came to be. He was created by the Children of the Forest as, essentially, a defense mechanism, one that has since gone rogue.
Legend has it, the Night's King was the 13th Lord Commander of the Night's Watch, who became the de facto leader of the White Walkers after falling in love with a woman whose "skin was as cold as ice." That legend doesn't quite seem to be true anymore. But ...
... according to Old Nan, this commander (besotted or not) was ... Brandon Stark.
It's not clear whether the poor sap who had a piece of dragon glass shoved into his heart could technically be a Stark ancestor. But if he is, then his interest in Jon at Hardhome could be explained as the villainous leader recognizing his kin.
Rumors that the mysterious Coldhands would enter the TV story have finally been confirmed.
In the books, Bran is helped by this vaguely undead character on his journey beyond the wall. Many fans believed Coldhands was Bran's long-lost uncle, Benjen Stark. And it seems they were right.