I don't know about the rest of you, but for the entirety of Season 1, I barely noticed Theon. In fact, I regularly confused him with Robb Stark. But for the past two episodes, I've actually come to dislike him. He's proven that some of the greatest evil comes out of the desire to be taken seriously.
When Theon first got to Winterfell, he decapitates Rodrik Cassel simply because he spat on him. Most chilling about this scene was the fact that it seemed to take Theon fifteen tries to actually get Rodrik's head off. (Didn't we all expect that beheading to go a little more smoothly? Okay, maybe not...)
And now, in the episode A Man Without Honor, Theon devilishly unveils two tar-covered bodies of children to the citizens of Winterfell, leading them to believe that he has murdered Rickon Stark and Bran Stark. But killing children? That seems like a lot, even for a villain. That's the kind of thing we might expect only from Joffrey Baratheon or Jaime Lannister, the weirdo who crippled Bran Stark in the first place.
So what do you guys think? For those of you who have read the books, steer clear of mentioning any spoilers--if only for my sake! I think that, in keeping with everything else Theon has done, he pretended to have killed the boys in order to save face and be feared. After all, when he tried to invade the castle, he couldn't bring himself to hurt Bran. And from what we've seen in Season 1, he doesn't seem to be a full-on sociopath, just desperate to be taken seriously.
So, theories? I think there's no way he actually killed them--plus, Bran's weird psychic dreams were pretty cool, and I doubt the show would put an end to his intriguing character!