Theon's Death Was Foreshadowed In Season Two

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In the final episode of season two, Theon took Winterfell from Bran but the Bolton's arrive to seize it back. Theon tries to rally his troops for what he called "the Battle of Winterfell" with a rousing speech. He tells his men "We die bleeding from a hundred wounds, with arrows in our necks and spears in our guts."

In the episode, Theon ends up being betrayed by the men and no battle takes place. Little did he know, in the actual Battle of Winterfell, he would die a heroes death with a spear in his gut.