I thought Theon was the best part of season 2. I'm glad they kept him around in season 3.
His whole actions in taking Winterfell and then immediately realizing that he was doomed but still hold his ground in order to defend it even though he knew he would be crushed. The desperate and tragic emotion that comes from him when he executes Ser Rodrik was phenomenal, it showed perfectly that he didn't enjoyed what the hell he was doing, and it explained pretty well his tragic character, demonstrating his intense internal struggle between his true family, the Greyjoys, and his foster family, the Starks, showing that he was just a man that wanted to be recognized by his family, in order to finally be noticed and accepted somewhere.
He's easily of the greatest characters in this show.
I'm not going to repeat myself though. I already said all of this some pages ago.
We Do Not Sow
"So many vows...they make you swear and swear. Defend the king. Obey the king. Keep his secrets. Do his bidding. Your life for his. But obey your father. Love your sister. Protect the innocent. Defend the weak. Respect the gods. Obey the laws. It's too much. No matter what you do, you're forsaking one vow or the other.”
"Do you even know what honor is?" – Brynden "The Blackfish" Tully A horse. – Jaime Lannister to himself