From A Wiki of Ice and Fire
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There are many still unanswered questions in A Song of Ice and Fire. Here we try to piece together answers from what we already know.
It is theorized that Brienne of Tarth is a descendant of Ser Duncan the Tall.
It remains unclear who Jon Snow's mother is, and possibly even if Eddard Stark is in fact his father.
It seems very likely that the novice Alleras is actually Sarella Sand, one of Oberyn Martell's illegitimate daughters.
Melisandre claims Stannis Baratheon with his magic sword is Azor Ahai come again, the prince who was promised. Maester Aemon remarks that his magic sword bears no heat though Lightbringer is supposed to be warm to behold and so believes someone else to be the prince who was promised.
While it seems clear Coldhands was, in life, a member of the Night's Watch, it's unclear who exactly he was.
It is very possible that the novice gravedigger that Brienne encounters at the Monastery on the Quiet Island is in fact Sandor Clegane.
A mystery knight named The Knight of the Laughing Tree fought at the Tourney at Harrenhal
and defended the honor of Howland Reed. His true identity remains unknown, but he could have been played by Lyanna Stark, Howland Reed, or one of the younger Stark brothers.
Septa Lemore's belly shows stretch marks suggesting she has given birth before, which is in stark contrast to the celibacy of septas. This gives to rise to theories about her former identity as well as that of her possible offspring.
Patchface has a remarkable if largely unnoticed prophetic capability. His past and Lord Steffon Baratheon's reasons for bringing him to Westeros are known only in very broad strokes. Could there be more to him than meets the eye? What is the origin and nature of his predictions?
Who is the prince?
Little is known of Robert Strong, but evidence suggests he is either Ser Gregor Clegane, or a kind of Frankenstein's Monster created from Clegane's corpse.
It's possible the Sailor's Wife is actually Tysha, Tyrion Lannister's first wife.
Evidence seems to point to Brynden "Bloodraven" Rivers to being the true identity of the Three-eyed crow.
Why does Sansa think the Hound kissed her in her bedroom during the Battle of the Blackwater?
The people of Westeros are willing to believe Balon Greyjoy was simply swept off a bridge into the sea, but this may not be what truly happened.
It seems likely that Lord Manderly murdered three Freys and had them baked into the pies he presented at Ramsay Bolton's wedding feast.
Tracking a man who can change his identity at will is a bit difficult, but not impossible.
Jeyne Poole is hidden for quite some time before being used by Tywin Lannister as an imposter of Arya Stark to help solidify the North. It is unclear where she was held all that time.
Conflicting descriptions by Catelyn Stark and Jaime Lannister suggest perhaps Jeyne Westerling has an imposter.
Benjen Stark has been missing for some time. In A Clash of Kings the Old Bear and Jon Snow discuss the empty wildling villages, realising that if Benjen found the villages empty, he would search for the reason.
Loras Tyrell may not have been grievously injured at Dragonstone, and may either be there for different reasons or elsewhere entirely.
Stonesnake has been missing since Qhorin Halfhand's group was sent to scout the Skirling Pass prior to the Battle of the Fist of the First Men and may or may not be alive.