I see this theory a lot. What's the evidence for it? (Not to go demanding that you explain other peoples' theories to me or anything)
The main evidence is that Val left the Wall, and returned in completely different garb, including now sporting a weirwood brooch. She claims that the garb was given to her by Dalla. Alone it's not much, but upon Val's return Jon also notes that Val's eyes have changed color. Before she left they were grey, and upon her return they're blue. And GRRM has said that this isn't an error, Val's eyes have indeed turned blue.
So something magical happened to Val, and it happened to happen when she went and retrieved clothes she'd once received from Dalla.
Your lordship lost a son at the Red Wedding. I lost four upon the Blackwater. And why? Because the Lannisters stole the throne. Go to King’s Landing and look on Tommen with your own eyes, if you doubt me. A blind man could see it. What does Stannis offer you? Vengeance. Vengeance for my sons and yours, for your husbands and your fathers and your brothers. Vengeance for your murdered lord, your murdered king, your butchered princes. Vengeance!
Before she left they were grey, and upon her return they're blue. And GRRM has said that this isn't an error, Val's eyes have indeed turned blue
Wonder if we'll see a similar phenomenon with our ole buddy Jon Snow.
If Jon Snow must be resurrected, I'd much rather it be through old gods/ice magic than fire magic. Because as much as GRRM likes to say that he doesn't like Gandalf the White's return, how is Beric Dondarrion really any different? He brought him back 7 times, and only then was Beric starting to acknowledge that he couldn't remember things like his betrothed or his castle. So his first resurrection probably cost him nothing. But he still remembered always that he'd been charged by Eddard to enact the king's justice. All in all he really wasn't that different. He'd changed a bit, but for as much as GRRM complains about Gandalf, I think it's a bit hypocritical.
Your lordship lost a son at the Red Wedding. I lost four upon the Blackwater. And why? Because the Lannisters stole the throne. Go to King’s Landing and look on Tommen with your own eyes, if you doubt me. A blind man could see it. What does Stannis offer you? Vengeance. Vengeance for my sons and yours, for your husbands and your fathers and your brothers. Vengeance for your murdered lord, your murdered king, your butchered princes. Vengeance!
My best guess would be that Mance wrote the letter, and it was a way to try and get Jon to come to Winterfell. I know a standard answer but I am sticking to it