Theon Greyjoy is dismayed when his sister arrives at Winterfell and won't help him hold it. His father doesn't want Greyjoys in a castle so far from the sea. And also, killing the Stark boys has only made the entire North hate him. Which is a shame, because he really only killed those two orphan boys that were sent to work at that farm. Bran and Rickon (and Hodor and Osha) are hiding out in the crypt at Winterfell.
Furthermore, because nobody outside the North knows that Bran and Rickon are supposed to be dead, Catelyn Stark has panicked about having four of her five children being held hostage. Although only Sansa is really a prisoner at the moment, she's worried about what would happen if the Karstarks have their way and kill Jaime Lannister. So she has Brienne take Jaime out of the Stark camp, which means that now Catelyn is a prisoner. Because Robb Stark puts her under arrest.
Over in Harrenhal, Arya learns that Tywin Lannister is about to make an unexpected attack on Robb's army. So she finds a way to escape! Specifically, she traps Jaqen H'ghar by his own weird rules. She gives him his own name, so he has to either kill himself or help her escape. And he does! So now Gendry, Hot Pie, and Arya are out on the road.
North of the Wall, both Qhorin Halfhand and Jon Snow have been captured by the wildlings and are being taken to see Mance Rayder. And in King's Landing, Tyrion and Cersei are butting heads about Tyrion's plans for her children. For example, she does not approve of Tyrion letting Joffrey plan to run down to the beach to face Stannis Baratheon in single combat. So she's going to kill Tyrion's whore! The only problem is that she got the wrong one.
Here we go. King's Landing, Harrenhal, Pyke, Winterfell, the Wall, Qarth. Bored! Somebody go somewhere new! What's the point of having an opening credits map that gets updated if it never actually gets updated?
Dead ravens get dumped right in front of Theon and Dagmer. So this is Winterfell, then. In this world killing a castle's ravens is like cutting its phone line. The gates open for some riders, who bring Theon's sister Yara in. She rides her horse around Theon. The more people ride in. Nobody stops to praise Theon, they just go straight in. He looks crestfallen. He should get used to that feeling.
Theon goes into the Winterfell dining hall to confront his sister. She cheerfully greets him with a sarcastic "Why, it's the Prince of Winterfell!" In response, Theon is cranky that she's not throwing him a party or something. There kind of is a party going on, but it's just his sister's men eating all the food. He thinks that taking Winterfell with just twenty men is actually pretty impressive. She ignores this and moves on to sneering at him for killing two boys for running away. Theon explains (pompously, of course) that Bran and Rickon promised to be his prisoners and then ran away. And that makes them treacherous, so he had to kill them. She thinks running away in that situation actually requires bravery. Then she calls him a dumb cunt for killing the only two Starks he could have used as hostages. He protests, "If I hadn't killed them, the Northerners would think me weak!" She tells him, "You are weak. And stupid." She then reveals that she didn't bring these men to protect Winterfell and hold Theon's great prize. She brought them to bring Theon home to face his father's wrath, because they're too far from the sea. Balon doesn't want some stupid land-locked castle. The Greyjoys are into boats and the Drowned God, remember? And now that Theon killed the Starks, everyone in the North wants him dead, which will make it hard for him to hold the castle. Theon refuses to be returned to Balon. He says he'll keep Winterfell himself! Yara tells everyone to get out and they do. Then she tells Theon that they both loved their mother and endured their father. She asks him to come home with her and not stay here and die alone. He answers, "I don't intend to die."
Yara tells Theon (and, coincidentally, the audience) a story about him screaming as a baby. I didn't realize she was older than him, but it turns out that she is because she remembers looking down at Screaming Baby Theon and thinking about strangling him to death. But then he smiled at her and she didn't. I guess some of Theon's personality flaws could be attributed to being the youngest child of at least four. Remember, he had two older brothers that died who Balon won't shut up about. Yara tells Theon not to die so far from the sea.