Alright, I can't find the page I once had with good explanations of the theories goin' round. I'll try to mention the ones I remember off the top of my head.
First, there's Jon's 'death.' The prologue has Varamyr Sixskins dieing and thinking about which of his pack he would jump into, and as we know, the Stark children have some serious Warginess going on. John whispering to Ghost before he dies also helps to imply that that is where his mind will be residing.
In the details of Jon's death, you can piece together a fulfillment of the Azor Ahai prophecy, and while I think that is what it is implying, you never know what's going to happen in this series. The smoke would be the condensation in the air from Jon's wound, the salt being Bowen Marsh's tears, and the bleeding star being the bloody heraldry (a star) of the dude that Wun Wun killed. On a more obvious note, Melisandre mentions earlier that she asks to see Azor Ahai in her flames (Stannis), but sees Jon...what else, what else....Oh yeah, the theory of what will happen next is that Melisandre will bring back Jon like we've seen Thoros do before, and having died, Jon will be free of his vows to the Watch, and free to crush Ramsay Bolton. I typed that last bit with my boner, by the way.
I don't remember all the exact details of this one, but in the first book, when Dany asks that witch lady that turned Drogo into a vegetable when he would return to her, she gives a response about the sun setting in the west and rising in the west, yadda yadda. I don't remember every line from that, but people have also pieced together a fulfillment of that 'prophecy.' The only piece I remember is that Quentyn Martell is the sun (Martell's sigil) that rose in the west (Dorne) and set in the east (melted like an idiot). That also makes his story seem less pointless, if so. There's also something about the vomiting she was doing at the end, or maybe it was some blood down in the fun zone, that meant she was pregnant/able to make buns in her oven again.
Last one I'll mention is how Dany is told to beware of the mummer's dragon by some lady sometime ago (book 2?). Well, there's a new Targaryen in town, and he's backed by our favorite dongless mummer. There's also a detail about Illyrio being promised by Viserys to be his Master of Coin once he was in the Iron Throne, so that would be Illyrio's motive to push a new phony candidate into the mix. If Varys' only motivation is as he says, for the realm, then his motive would be the hope that someone groomed to rule by Illyrio and Varys won't be a shit head. I vaguely remember there being a rumor about Aegon being Ilyrio's son somehow...maybe it was that Ilyrio's dead wife had purple eyes also? I don't remember.
Hopefully some of that made sense...