That reminds me, there was an unintentionally (maybe?) funny moment in the second episode, when Bran asked Hodor what happened to him, and Hodor of course replies "Hodor". It was probably meant to be rhetorical, but the way the line was delivered, it was like he was genuinely expecting an answer.
Speaking of theories though, there's a pretty
good one about Hodor. It may be off the mark, but it does make sense.