Did I miss something? not too sure on the names, but I thought the two younger Stark brothers (one had fallen and became paralyzed) successfully fled the Theon Greyjoy siege on Winterfell and were being taken to the wall by some giant oaf looking guy that only said "Ordorf." Sure has taken them a season or so to get there.
Bran, Rickon, and Hodor. Rickon was taken somewhere else. In the books you find out where they went. Bran, Hodor, and his 2 friends from the swamps have already made it to where they are going in the books and show.