I have this feeling that the first time we see Theon is season 3 will be him tied up with Dagmar and perhaps a few others in the back of a wagon or something on its way to the Dreadfort. And that Yara will spend the season looking for him, though most of the Ironborn will think he's dead.

I wonder if they'll bother with "Arstan" or just have Barristan already in the open, as it were, as well.