Bran and the Mad King
Bran spent season 6 in training with the Three-Eyed Raven and ended up with an assortment of powers. The ability to look back into the past allowed him to witness events as they actually happened. This is how he watches his father, Ned Stark, at the Tower of Joy as he finds baby Jon Snow. In this scene, Ned turns around and looks in Bran’s direction without directly seeing anything but clearly sensing something. Later on, when trying to escape the White Walkers, Bran possesses Hodor in order to win himself and Meera some time. Through the link that Bran had created, Meera’s shouts are projected back in time to young Hodor and we see how the name came to be.
This newly acquired ability of time travel spurred speculations about how Bran could have been involved in different aspects of Westerosi history, like driving King Aerys to madness. The theory conceived that Bran went to ‘visit’ the King and tried to persuade him to burn the White Walkers. And as Bran cannot to be seen but only heard when he projects himself, his voice eventually set the King off, causing him to “burn them all” and set the city ablaze.
And Bran is also Responsible for Building the Wall
So the Three-Eyed Raven can manipulate the past and, as established above, Bran could be a key part of all Westerosi history. It is theorized that Bran is the Brandon the Builder, the one who raised Winterfell and, according to some, the Wall.
There is a passage in one of George R.R. Martin’s books which says that Old Nan told the story of Brandon the Builder to a young Bran, who knew the story although it was never his favourite. It explains that sometimes the old woman would talk to him as if he were Brandon, and also sometimes confused him with his uncle Brandon, who the Mad King had killed. Old Nan had lived so long that all the different Brandon Starks became merged into one inside her head. But what if, with his powers as the Three-Eyed Raven, Bran actually is all the Brandons, manipulating history and past events?
And Arya’s list goes on
Upon their first meeting, Melisandra prophesized that Arya would shut brown, green, and blue eyes forever. Arya then went on to kill Walder Frey (brown) and the Night King (blue), after which most viewers assumed that green would belong to Cersei. Even though Arya was on her way, the Queen Mother was buried under the wreckage of the Red Keep long before Arya could have gotten to her. So, the youngest Stark actually hasn’t fulfilled the Lord of Light’s prophecy.
In the finale, we see Arya set sails for West of Westeros, intending to find out what is beyond the maps and the world. But will the prophecy stay incomplete or is there someone she’s after?
Tyrion Targaryen
Tyrion, the youngest of the three Lannister siblings, has been thought to be a Targaryen for many seasons. The theory states that the Mad King had an affair with Tywin Lannister’s wife which resulted in the birth of Tyrion. This would explain why Tywin really hates him so much and puts truth behind Tywin’s last words of “you’re no son of mine” before being shot.
If you look close enough, this idea has been hinted at repeatedly throughout the first few seasons but more directly in the latter half. Tyrion and Daenerys develop a strong, trusting relationship soon after meeting. What’s more is that Tyrion was able to go near and interact with her dragons, setting them free from their chains.
Drogon is going to Old Valyria
The last we see of Drogon is when he destroys the Iron Throne, picks up Daenerys’ limp body, and flies off from the Red Keep to an unknown destination. Later in the episode, it is reported that the last surviving dragon was seen flying East of King’s Landing.
The theory’s basis is that Drogon is heading to Old Valyria, which is the birthplace of the Targaryens, and so he is taking Daenerys home.
Ned Stark will return
This theory was one which picked up speed before the season 8 premiere and, even though it didn’t happen, is definitely an interesting one. Everyone saw as Ned Stark’s head was placed on a spike, displayed for all of King’s Landing to see. But what if it wasn’t actually Ned Stark who was beheaded and put on display?
Jaqen H’ghar of the Faceless Men and Ned Stark were both prisoners of the Red Keep at the same time. Arya first meets Jaqen when he is being taken out of the Red Keep as prisoner. How could a Faceless Men have been so easily captured and imprisoned? Because he was captured on purpose. The guess is that Varys was going to pay Jaqen to replace Ned Stark with an imposter. Ned stayed hidden as he travelled further and further away from Westeros and is potentially working for Varys to pay off their dept owed to the Faceless Men.