Thanks, Mikey. I think GRRM made the whole Reek/Ramsey Bolton story very confusing for a reason. I know that when I read that part of the story I found those chapters more than a little bit murky.
The show is going to some logical places that perhaps have not been explored by the books. Jon Snow's story at The Wall is among those. Looking back at the book, it seems like his story was actually a little bit abridged. He gets back to Castle Black just in time for the Wildlings to attack. I get the sense that happened in the books simply because there were so many storylines that he was trying to roll into a single book. In retrospect A Storm of Swords is a really dense book, with a lot going on. I suspect that the show is expanding on Jon Snow's story in an effort to build his character a bit more in light of what's to come for him as established in the books.
The last scene, like I said before, was really creepy. But I think it's necessary in the context of the show. Because it is so easy to get caught up in Dany's story, and the intrigue at Kings Landing. All we have to go on about the dangers that lie north of The Wall are scenes with characters like Jon Snow, Samwell Tarly and Bran Stark. But those brief scenes with the White Walkers and Melisandre looking into some flames, telling Stannis that the true war lies to the North tell you where this story will eventually go. As the Starks say, Winter is Coming.