If you have not seen Episode 10 of Season 5 yet, do not read this post, because it is full of SPOILERS!!
So last night saw the men of the Night's Watch (led by Alliser Thorne) stab everyone's favourite Stark bastard repeatedly, with the creepy little bugger known only as Olly delivering the final stab with a semi-Shakespearean flourish. This was a heartbreaking moment, far more poignant than the Red Wedding, and far more shocking than the death of the Red Viper. Jon Snow has always been one of those characters with whom it is impossible not to sympathise (although the shock value of having a major character killed in a brutal fashion is no longer as great as it used to be on this programme).
But the main question is whether or not Jon Snow's death is final. Now, I am not one of those book nerds who loves to post spoilers from the books in order to derive some perverse pleasure out of ruining the fun for all those normal people who had never heard of George Martin until HBO decided to turn A Song of Ice and Fire into a television series. But, my understanding is that this event only occurs at the end of the fifth book, so even those irritating book-nerds do not know whether or not Jon's death is permanent.
There are a number of fan theories (propagated by those selfsame book-nerds) about how Jon Snow is not really dead and will return to life, including one really far out theory about how he will live on in warg-fashion in the body of his dire wolf Ghost.
But the most convincing one I have come across is the theory that he might be brought back from the dead by the Red Priestess Melisandre, who just happens to have come back to the wall in the nick of time. Recall that Beric Dondarrion, who was dispatched by Ned Stark to apprehend the Mountain back in Season 1, has been resurrected not just once but six times by the priest Thoros of Mhyr, who is also a servant of the Lord of Light. And, while Melisandre is at least a genuine believer in the Lord of Light, Thoros did not even truly believe in him until he managed to resurrect Beric Dondarrion. So, if anything, Melisandre should have a better chance of bringing a dead person back to life than Thoros, who was more interested in drinking and whoring than in spreading the word.