Theon Greyjoy wakes up to discover that Osha wasn't sleeping with him just because she was overwhelmed by his manly charm. In fact, she snuck out with Bran, Rickon, and Hodor. This prompts a manhunt which ends with Theon hoisting two child-sized, tar-covered corpses outside the door to Winterfell.
Meanwhile, Jaime Lannister would also like to escape from the Starks. He takes his opportunity when he gets to kill a fellow prisoner (a Lannister cousin) and a guard. Unfortunately for him, he gets captured again right away, and Catelyn Stark has to try to prevent an uprising when the Karstarks want to kill Jaime immediately.
North of the Wall, Ygritte spends most of the episode daring Jon Snow to have sex with her. Then, when she gets bored with that, she escapes and her friends capture Snow instead.
And in Harrenhal, Arya continues to believe that she's doing a great job of convincing Tywin Lannister that she's just the daughter of a stonemason. She's not, but he seems to find her entertaining.
Daenerys still wants to find her dragons, and she's helped out in this when the main warlock of Qarth says he took them to the Tower of the Undying. It's part of this deal he cut where Daxos gets to be King of Qarth and the rest of the Thirteen get murdered.
Previously: I think it's weird that Robb named himself king of "The Free and Independent Kingdom of the North." How independent can you really be if you're called "The North"? I mean, you're defining your entire existence by your geographical relationship to something else. Shouldn't they be calling the rest of Westeros "The South"?
The opening credits hold no surprises this time out, so I'll take a moment to identify who's at what place. King's Landing is where Tyrion and Cersei Lannister, Sansa Stark, and the Hound (Gregor Clegane) are living. The Hound's brother Sandor, usually called "The Mountain, is at Harrenhal with Tywin Lannister and the incognito Arya Stark. There won't be any scenes actually at Pyke, but I guess it's there to represent Theon Greyjoy. He's actually at Winterfell, having driven Bran and Rickon Stark out of their home in the company of Osha the Wildling and Hodor the Guy Who Says Hodor. The Wall is another place that doesn't have any actual scenes, but somewhere north of it, Jon Snow is currently lying down with Ygritte, another wildling. Finally, Qarth is the city where Daenerys has just found her handmaiden killed and her dragons stolen.
Theon wakes up in a fur-covered bed in Winterfell, which you'd know if you hadn't skipped that paragraph about the opening credits. He notices that Osha is gone. That Theon's pretty quick -- if you sneak out of his bed, he'll find out within six or seven hours. Eight, tops. Outside, he finds the guard who Osha killed. He harasses a bald guy about letting a crippled boy escape, and he doesn't think it's much of an excuse that Hodor also escaped: "Oh that's all right, then. You let a halfwit escape with a cripple." The guy tries to defend himself by pointing out that they escaped with Osha, "the one you were fucking." Theon beats him up. Then he tells Dagmer to get the horses and the hounds. Is he going to beat them up, too?
So the hunt is on! It does, in fact, include both horses and hounds. But not much actual finding of escaped Stark boys. Maester Luwin has been brought along so Theon can smirk at him. Luwin is not impressed: "So far, hunting seems very much like riding, my lord." Theon doesn't seem happy with the reception he's getting. I guess he thought that when he took Winterfell, everybody would applaud his initiative. He somewhat defensively points out that when he was a hostage of the Starks, he never ran away. He promises that if he finds Bran and Rickon soon, he won't kill them. He'll just, you know, rough 'em up a little. And he's not worried about the long-term prospects of his taking Winterfell. He thinks his sister will get there from Deepwood Motte before Robb can respond with his army. And like Robb always said, "Five hundred men can hold Winterfell against ten thousand." I think that might have been more figurative than Theon is imagining. Also, his men are near-mutinous sailors, which might not be ideally suited for defending the walls of a castle they just saw for the first time today. In the distance there's barking, which Theon interprets to mean that the hounds have the scent. He assures Luwin that, "It's all just a game." In the hands of someone less smarmy, that could come off as cheeky and fun.