The main theory I've heard is that Jon Snow is the son of Rhaegar Targaryen and Lyanna Stark. A result of when she was taken.
Now, at first I thought ehhhh maybe. However it wouldn't be unheard of for the hair color to come out different. Think about it. Targaryens always have blonde children, but they also marry their siblings. Dany and Viserys were the result of a sibling marriage. The Baratheon's are also a line from Aegon V and an 'unknown Baratheon'.
http://awoiaf.westeros.org/index.php...aryen_tree_now
So if all Targaryens are supposed to have had fair colored hair, this could be a result of always marrying siblings. The Baratheon's had different color hair. Their genes almost always result in black hair. So what's to say Rhaegar and Lyanna wouldn't have had a dark haired child? Rhaegar has a child with a woman who isn't a Targaryen, and her gene takes over, resulting in Jon's black hair.
It's also said the dragon has three heads. We know of Dany, Aegon (the youngest, traveling with the Gold Company). Who is the third? And who better to ride a dragon, than a
skinwalker named Jon Snow? (Or Jon Targaryen, as it were).
At the end of the last book, Jon Snow was stabbed. However, we were also shown how a skinwalker was trapped in his animal. So, perhaps Jon travels into Ghost's body (aptly named Wolf, ne?). Melisandre, could then bring him back to life. We've seen what R'hllor can do with people. Beric and Catlyn for instance.
In the dungeon with Eddard Stark, it was mentioned in the books (dont remember if it did in the show) that there was so much he wished he could tell Jon. He felt a sense of shame about him. And it's never revealed who his mother is. Eddard took that to his grave.
So, could we be in for a surprise? Could Jon Targaryen end up as King of Westeros with Daenerys as his Queen?