This is a living document to run up through Season 4. Wikias have way too much information and can spoil things and I wanted to reference (as I watch) a concise form and came up with this. There is lots of stuff missing (characters and places.) Please let me know of any corrections or additions and I will update this information. From here forward, I will save a version of this after each episode. Unfortunately I don't have time to go backwards and do this for every episode prior.
Stark Child: Direwolf Name; Direwolves Status; Location
Arya Stark: Nymeria; Alive; Somewhere in Riverlands
Bran Stark: Summer; Alive; North of the Wall (captured by Mutineers at Kraster's Keep.)
Jon Snow: Ghost; Alive; North of the Wall (captured by Mutineers at Kraster's Keep.)
Rickon Stark: Shaggydog; Alive; Last Hearth (South of the Wall)
Robb Stark: Grey Wind; Deceased (by Lannister sympathizers)
Sansa Stark: Lady; Deceased (by Ned Stark)
BTW: Did you notice every person who has killed a direwolf has ended up dead a short time later?
Game of Thrones: Threads at the TV Critic