So Theon's being held by Ramsay, Roose Bolton's bastard. This tells us that Theon's probably being held at the Dreadfort, because one of my favorite lines from last season (in episode six) was when Roose said, "Let me send word to my bastard at the Dreadfort." And now that I look at that scene, Roose was, in fact, trying to capture Theon for Robb, like he just told Walder. So if we'd all been paying more attention, we could probably have assumed that was who had Theon. And the wooden X Theon is tied to looks a lot like the Flayed Man symbol, which just goes to show these people's admirable devotion to symbolism. Also, it's worth mentioning that Ramsay's last name is "Snow," because that's the name that bastards get in that part of Westeros. Like Jon Snow.
And conveniently enough, the next scene is in the Dreadfort (great name) with Ramsay Snow! He's eating some kind of large meat thing while taunting Theon (still on the X) about his missing cock. For a second, he seems to imply that that's what he's eating, but it's really a pork sausage. Let's not let it get weird, you know? He speculates about phantom limbs and asks, "Do eunuchs have a phantom cock?" He asks Theon if he'll feel an itch when he thinks about naked girls. Theon doesn't look like naked ladies are the first thing on his mind at the moment. Ramsay says his mother taught him not to throw stones at cripples. Then he switches gears: "But my father taught me, aim for the head!" Theon mumbles something, which turns out to be a request for Ramsay to kill him. Ramsay says he'd be no use dead, because they need him. He walks up to Theon and pulls his head up. He says, "You don't look like Theon Greyjoy. You're just meat. Stinking meat. You reek. Reek! That's a good name for you! What's your name?" Theon says, "Theon Greyjoy." Ramsay backhands him across the face and asks again. Theon again says his name is Theon. This time Ramsay punches him. One more time, "WHAT IS YOUR NAME?" Theon gets on board: "Reek. My name is Reek." I feel like you should either buckle right away or keep insisting on your name until you get beaten unconscious. Taking the middle route just gets you pummeled and you don't get to keep your name.
In the Nightfort (not the Dreadfort) Bran wakes up to the sound of...well, some kind of noise. Could be ghosts, I guess. There are low moans and the sound of something being dragged. It's a lot like listening to a Halloween sound effects album. Summer growls. Now everyone's up. A shape appears and Meera attacks. But it's just Sam! This doesn't calm anyone down, because Bran's crew has never met Sam, so they can't be expected to know that he's the comic relief. Gilly introduces herself and requests not to be killed. Sam and Gilly volunteer the information that they're going to Castle Black to meet up with the Night's Watch. Bran starts to say his brother's in the Night's Watch, but he shuts up. Sam identifies him: "You're Jon's brother! The one who fell from the window!" Apparently if you know about a crippled boy with a dire wolf and a big dude who only says "Hodor," Bran's not that hard to identify. Sam decides they're all right: "I'd be dead if it wasn't for Jon. If you're his brother, you're my brother too." It's quite touching, and everyone seems to forget that Sam was actually in no position to declare a truce. Bran wants to be taken north of the wall, since Sam and Gilly just got south of it somehow. Meera guesses that there's an underground river in the well. Sam has a different proposal: the Nightfort has steps to the top of the Wall, and then they can go straight to Castle Black. Sam thinks that if they knew what was waiting for them north of the wall, they'd never consider going there. But Jojen mentions both the White Walkers and The Army of the Dead, and they don't seem to be deterring him. Jojen is pretty calm about all this. Sam thinks it's unlikely that Bran's crew is going to stop a huge ravening supernatural horde, but he's a sucker for an urchin. So he's clearly going to help Bran.