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.
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.
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?
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.
Howland Reed has also been missing for some time. In A Clash of Kings, he sent his teenaged children, Jojen and Meera, to pledge the Reeds to Robb Stark and defended the Neck against invaders from House Lannister to Ironmen. Despite being the Stark family's most loyal friend and the sole remaining survivor of the Tower of Joy, he has been notably absent. Given the Crannogmen's small stature, could Jojen actually be Howland? Is Howland a warg operating through animals/people to aid the Starks behind the scenes?
Tracking a man who can change his identity at will is a bit difficult, but not impossible.
Loras Tyrell may not have been grievously injured at Dragonstone, and may either be there for different reasons or elsewhere entirely.
After Eddard Stark's execution in King's Landing, Ser Cleos Frey brings his bones to Riverrun. Catelyn Tully asks Hallis Mollen to carry them north to be buried at the Stark crypt at Winterfell, not knowing that Moat Cailin has fallen to the ironborn, blocking the only viable road. Since that time, Mollen's whereabouts, and Ned's bones, are unknown. When Barbrey Dustin and Theon Greyjoy investigate the crypt in A Dance with Dragons, no evidence of them is found.
Davos Seaworth lost his bag of fingerbones after the Battle of the Blackwater, making frequent reference to this afterwards, as his lost luck. In ADWD, when explaining the glamour used on Mance Rayder, Melisandre makes specific mention of a bag of fingerbones as the sort of trinket that might strengthen an illusion. Could she have somehow acquired them after Davos lost them, and be planning to create a false Davos?