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I wonder if Theon was a book to screen decision. They showed a little bit of the torture, but I think it would be very difficult to show onscreen the full extent of the torture - plus I would think it would be a make-up nightmare going forward. Sort of like the change they made to the damage to Tyrion's face? I just think the big thing in the books was how broken he was when he did show up again (which I don't think happened until book 5), because GRRM is positioning him, I think, for his own redemption by the end. If he's not as broken onscreen, then I'm interested to see where it goes.