I don't think Jon is dead, there are two popular theories right now. One says that he "warged" out of his body and into Ghost just before he was stabbed so while his physical body may be destroyed he will jump back into somebody else. The other theory is that it actually wasn't Jon that was stabbed, but one of the prisoners he took made up to look like him like what Melisandre did with Rattleshirt and Mance Rayder. Personally I'm hoping for the second one because it will be much easier to prove that he's actually the bastard of Rheagar Targaryian and Lyanna Stark.

As to some of the other characters, I think the Hound is still alive, having shed that part of his personality after his brush with death. He has unfinished business to settle with his brother, now under the guise of "Ser Robert Strong" or so say the rumors. As to Brienne's death, I don't think she died, what I think she did was say she would give up Jaime Lannister to Lady Stoneheart who is keeping Podrick Payne as collateral. I think the events of the Red Wedding really upset a lot of readers and it made Martin a little bit more hesitant to kill off major characters all willy nilly. While it was one of the major aspects that made his books stand out amongst other fantasy series' it also made them incredibly hard to read when characters you've grown fond of bite the dust.

I also have to agree with you about Sansa and Theon, while I've never particularly fond of either character, the punishment bestowed upon both is really unfair to them. You think at the end of A Storm of Swords that Sansa finally leaving King's Landing and going to the Eyrie would be the start of something a bit more positive for her character, but then almost being killed by Lysa and then having to endure this psychological torment from Littlefinger is just sad. Both the physical and psychological torment Theon has experienced by the hands of Ramsay Bolton is also quite horrific, almost to the point where I had to stop reading his chapters.