Spoiler Alert! If you haven't seen Game of Thrones series 5 or read George R R Martin's A Dance with Dragons, then this spoils one of the most important scenes, which is in both...read no further. This is an educated guess about what is about to happen.
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There appear to be 4 ways that people can survive death or be brought back to life in the Game of Thrones universe:
A priest of R'hllor can use a fire ritual to bring a dead body back to life. Something seems to be lost if that happens though.
The chief White Walkers (Wights?) seem to have the ability to create White Walkers from corpses. The White Walker is a zombie and has little or none of its original mind left.
If a person who can animate another creature (Warg) is actively doing it at the time of their bodies death, then their mind is permanently transferred to the victim. This is considered at some length in the books, and apparently there is a merging of the minds that takes place after the death of the Warg.
Some people seem to be able to survive fire. This may be resistance, but I think it may actually be a death and full reanimation by fire...or perhaps a more than full reanimation, with special Dragon-related powers. I'm not sure if it's a property unique to Targaryens or what, or if it's tied in some way to the Priests of the Red God's ability to revive a dead person.
Here's the speculation: Jon Snow is not the illegitimate son of Eddard Stark, but the legitimate son of Rhaegar Targaryen and Lyanna Stark. Lyanna had been kidnapped by Rhaegar, starting Robert's Rebellion, but she had fallen in love and they had married. (Targaryens are allowed multiple marriages). When Eddard and his bannerman Howland Reed came upon her, dying in childbirth, Lyanna made Eddard and Howland promise that he would keep the secret of her children's parentage until they reached adulthood, and each raise one of them as his own. Eddard took the son, raising him as his own bastard, Jon Snow. Howland took the twin daughter and adopted her as his own, Meera Reed. Howland Reed is now the only person alive who knows what exactly was promised, and he has carefully stayed inside his fortress
If this is true: 1) Jon and Meera are fully legitimate Targaryens, 2nd and 3rd in line for the iron throne after their Aunt Daenerys. If Robert Baratheon had known the twins true parentage, he'd have had
them killed as a legitimate threat to his right to the throne. It would have been particularly galling for him, because he was the one betrothed to Lyanna and he was madly in love. No wonder their mother wanted their secret kept. This was a terribly hard secret for Eddard Stark to keep. 2) One or both may be able to be reborn in fire. Both are dead at this point: Meera was killed defending her brother Jojen Reed, Bran Stark, and Hodor from White Walkers as they entered the camp of the Children of the Forest at the end of Season 4. She presumably is now a white walker, but it may be possible to bring her back to life by burning her. I speculate that this will happen in dramatic fashion at some point. They will burn Jon to try to keep the corpse from becoming a white walker. I'm not sure whether he will emerge in dramatic fashion from the fire or figure out a way to sneak off.
One way or another, I'm pretty sure the Red Witch Melesandre will be involved and Jon Stark will now become the object of her affections and promotion. She may be able to figure out the truth somehow. She plainly has exceptional ability to see things at a distance. The scene where she said, exactly as Ygritte said it: "You know nothing, Jon Snow" gave me goosebumps. (While researching for this I stumbled across the fact that Kit Harrington and Rose Leslie have been dating (these are the actors that played Jon Snow and Ygritte))
We know that dying absolves a member of the Night's Watch of their commitment. I suspect Jon will find a way to continue to honor it, nevertheless. He's aware that the White Walkers are far more dangerous than any other threat to Westeros.
While it is technically speculation at this point, there have been so many clues that I am almost certain that Jon Snow is the child of Rhaegar and Lyanna, and that's what the secret was between Lyanna and Eddard. I'm pretty sure that the only surviving character who knows the truth first hand is Howland Reed. The legitimacy, and that Meera is Jon's twin, is more speculative, as is the ability to be reborn in fire (as opposed to merely surviving, which was what we were led to think with Daenerys).
I wonder if the fact that there are three dragons and three Targaryens (Daenerys, Jon and Meera) is significant.
We know that the Targaryens have this dragon and fire ability and that some Starks have Warging--Bran for sure, and we've apparently seen Jon Snow doing it with Ghost. I wonder if Warging and communicating with dragons are related gifts or if Jon will be unique in having both.
We may learn the truth Sunday. I speculate that there will be something mysterious happening first, and the story will come out in a more complicated way.
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addenda 1 May 2016
It turns out my first guess was correct, that Melisandre, the priestess of R'hllor, was able to bring Jon back, although only Ghost and the audience realize it yet--she thinks she failed as we fade to credits. I thought the scene was very well played, if a little predictable. Right up until she tried, it could have gone either way--they'd mentioned burning the bodies. This may have been better storytelling choice strategically, to avoid giving away Jon's parentage too soon.
After 2 years out of the production, Bran is back, and his warging has given him a look at his father Eddard, aunt Lyanna, and uncle Benjen, as children, as well as Hodor before he lost the ability to speak. Bran wants to see more, and we can be sure he will learn some interesting things, but his new warging guide, played by the great Max von Sydow, is worried lest he go too far and get lost.
We also see Meera, who was the survivor of the White Walker attack--it was her (adoptive) brother Jojen that was killed. It's been 5 years since I read it and 2 since I saw it acted...sorry. The scene, I thought, really emphasized her similarity in appearance and attitude with Jon Snow.
And the release of the dragons. I'm a little mystified why Tyrion wasn't made a quick morsel, as was Tyrion himself. Perhaps the dragons really are smart enough to see the larger picture. Or maybe he has some Targeryan blood. Perhaps his biological father was not Tywin Lannister after all.
One of my favorite non-POV characters was Syrio Forel. I keep hoping he survived the fight, where he had a wooden practice sword and was looking pretty good against fully armed Kingsgard Meryn Trant when the scene cut away. When the opportunity presented itself, Arya violated her vows to the Many-Faced God to avenge him. I keep hoping he turns up in his native Braavos.
