Yeah, they have definitiely set up the possibility that Tyrion is actually a Targaryan based on Aerys and Joanna having an affair, or perhaps Joanna being raped (though that seems unlikely as Aerys was apparently in love with her). It had been speculated before, and in the latest book, GRRM gave the hint through Barristan Selmy that it could be true given his description of the "relationship" between Aerys and Joanna. Not sure if it is a red herring planted by GRRM to fuel the speculation, or a hint of things to come...

Yeah, we should hopefully find out something on that front in book 6 since Tyrion is right there near the dragons. And of course it is pretty much a given that Jon Snow is a Targaryan (son of Lyanna Stark and Aegon presumably, though not confirmed), so Dany, Tyrion and Jon would make a pretty interesting three heads of the dragon. Granted, we need Jon alive for that, so we'll see. Plus there's the Prince now in Westeros who is also a Targaryan (unless he's a fake), so he is also a possibility. Come on GRRM, write! Write!

"Jon Snow is a Targaryan (son of Lyanna Stark and Aegon presumably"
Wow! I had to look that up, never heard it before. If true that makes perfect sense. Jon can't be dead,right? Maybe they throw his corpse over the wall and he comes back as a white walker but like a good whit walker.

That's what, evidently, happened to Cold Hands, right? Though I don't like that plot development with a PoV character. Still, it's not unprecedented. I think a raising by Melisandre or him not really being dead is the most likely.

As I've mentioned before, no major character has ever permanently died during his or her POV chapter. Catelyn was killed at the end of the Red Wedding, but was later resurrected. I am about 99.9% sure that Jon will survive, in one way or another. Too much invested in the character to kill him.

Azor Ahai reborn. The signs were there during his stabbing.

Yeah, there is much support for the theory that Jon is the son of Lyanna and Rhaegar. See this essay (not updated for book 5, and book 5 threw a little doubt into it, though I think that was GRRM trying to muddy the waters):

http://towerofthehand.com/essays/chr...s_parents.html

My other favorite theory is that the Hound is still alive and with the church now (based on excerpts in the chapter in book 4 when Brienne visits the quiet isle) which sets up a potential fight to the death between the Hound and his "dead" brother zombie Gregor (Ser Robert now with the Kingsguard as of the end of book 5) as the trial by battle to decide Cersei's fate. More on that theory here:

http://towerofthehand.com/blog/2010/...he_/index.html

Since we're in a thread that has people who haven't read to this point, I'll throw this in spoiler tags.

I don't place a ton of stock in this theory, but I think Tywin might have hardbored some secret suspicions about the above theory. I think if Tywin had proof, he would have joined the battle against Aerys much more quickly than he did.

Tyrion's dwarfish-ness is probably more due to Tywin being married to a close cousin than anything else, IMO.

Things I think will happen with Jon:

He is stored in one of the ice rooms, underneath the wall. (see Bran's dream about Jon sleeping on a bed of ice).

He will be reborn (Melisandre giving him the kiss of life and then realizing Stannis is NOT Azhor Azhai reborn - Jon is).

Jon will still somehow lead the wildlings south (either after regaining control of the Night's Watch or by being removed from his obligations).