Theon Greyjoy wakes up to discover that Osha wasn’t sleeping with him just because she was overwhelmed by his manly charm. In fact, she snuck out with Bran, Rickon, and Hodor. This prompts a manhunt which ends with Theon hoisting two child-sized, tar-covered corpses outside the door to Winterfell.
Meanwhile, Jaime Lannister would also like to escape from the Starks. He takes his opportunity when he gets to kill a fellow prisoner (a Lannister cousin) and a guard. Unfortunately for him, he gets captured again right away, and Catelyn Stark has to try to prevent an uprising when the Karstarks want to kill Jaime immediately.
North of the Wall, Ygritte spends most of the episode daring Jon Snow to have sex with her. Then, when she gets bored with that, she escapes and her friends capture Snow instead.