Balon Greyjoy: hasn't been heard of since S3E10.
Does he personally have brothers and sisters that serve him? If so, will we ever be introduced to them? Does he have any sort of plan to move forward his claim to the Iron Throne besides reaving the coastal areas?
Jorah Mormont: Where is he heading with Tyrion? To Cersei or Dany? One way could mean his head and Tyrion will be spared ; the other way vice versa.
House Lannister: What becomes of this House if Tywin is dead?
I speculate that the Lannisters will lose the North; first to the Boltons and then to Stannis.
Varys: No doubt he's making a bee-line for Dany to get a job and help his friend (Tyrion). Will he be successful?
Arya: Is struggling to be a faceless man. Will she find inner peace and a purpose for her life?
Sansa: Is struggling to be the next Little Finger. Will she be instrumental at securing the North back for the Starks and avenging her Mother and Brother's deaths?
Jon: Is grappling with being Lord Commander. What will he do with the Wildlings? Will he use them for the Wall or be able to convince them to help Stannis?
Bran: Is somewhere under a giant Weirwood tree. Will he ever learn to fly? (Whatever that means...)
The Hound: Dead or alive?
Benjen Stark: He’s up North somewhere
(as Robin put it "in one form or another")
since the end of Season One… Hopefully he doesn't have glowing blue eyes...
I think he went to the same school that Mance went to for setting fires. I guess everything in time as they say...
Blackfish and Edmure: The Tullys took a huge blow at the Red Wedding and the Riverlands is a mess.
Blackfish fled with whereabouts still unknown.
We last left Edmure an imprisoned husband of Roslin Frey.
Gendry: Last seen rowing away from Davos away from Dragonstone Island. Where is he?
Rickon Stark: We still have not seen him, Osha or
Shaggy Dog, however we assume they are safe at The Hearth with House Umber.
Steelshanks: Assumed at this point to be at the Dreadfort with Roose.
Syrio Forel: Dead or perhaps back in Braavos? Only Meryn Trant knows for sure…
Brotherhood without (Banners) "Without Ambition":,
What is their grand plan? Hide in a cave; abduct folks and have Beric fight them with a fire sword to test their guilt or innocence? Isn't that a painfully slow process that amounts to little in the big picture?
The Mountain: What does he look like under that sheet?
Can you think of others we need to keep track of?
Game of Thrones: Threads at the TV Critic