After leaving the Night's Watch (he died, so if you want to get technical, he did fulfill his vows) at the end of Episode 3 of Season 6 on Game of Thrones, the only question worth asking is: where is Jon Snow going? North, beyond the wall? South, back to Winterfell? Right now, where Jon Snow is going — and why — is honestly anyone's guess. After the public hangings of the men who betrayed their Lord Commander and killed him, Jon is visibly shaken by what he's done (and for good reason, it may be the North, but any man who has to kill a child, even one who's betrayed him, should feel something after watching them die), Jon removes his Lord Commander garments and hands them over to Dolorous Edd. He then leaves Castle Black. But why? And where the hell is the newly resurrected Jon Snow going?
Even though I'm all for Jon breaking the chains holding him down (impatiently waiting for Game of Thrones to confirm that R + L = J), there's one huge problem with Jon leaving Castle Black at the culmination of "Oathbreaker": Sansa and Brienne are on their way to safety with Jon. But as the episode draws to a close, Jon Snow tells Edd: "My watch has ended," officially opening up the second-largest cliff hanger on the show.
Chances are, most likely, that Jon is headed South to find his siblings — or whatever is left of them. He'll likely head of Winterfell, since that was once his family's stronghold and the place he felt safest, and if that's where he headed, I honestly hope he's going to be able to pull some Harry Potter sh*t and apparate there fast AF. With Rickon unfortunately in Ramsay's hands, it's probably never been more important than Jon head back for his homelands. And after seeing the sheer horror that Ramsay is capable of (first with Theon, then Sansa, then his father, then his stepmother, and finally, his brother), it's clear that Jon not only represents a formidable opponent (and, to be honest, someone Ramsay Bolton might just fear a little bit), but the last lingering bit of hope for Rickon's safety.
There's also the option that Edd will send Sansa and Brienne back out of Castle Black in search of Jon after they arrive (and it seems like Epsiode 4 teases their arrival at Castle Black) after informing them that her half-brother died, came back to life, and has now left the Night's Watch. Though that absolutely isn't ideal (at this point, all of us are basically beginning for a Stark Sibling Reunion in some way shape or form), it would at least put the gears in motion of Sansa and Brienne to somehow catch up to Jon — and that could be really important for Rickon. Sansa is the eldest living Stark child, which could twist the allegiance of the Umbers, the Karstarks, and the rest of the Starks' bannermen from the Boltons back to the Starks. Because Jon had never been legitimized, having Sansa Stark with him would be a huge blow to Ramsay, and that could be huge for Rickon.
But at this point, it's still too soon to tell. Though part of me hopes that Jon will set out in search of Arya, I know better than to think that Season 6 will take us from Castle Black all the way to Braavos in the span of the remaining seven episodes. But since Melisandre basically confirmed Jon is The Prince That Was Promised, there's always the chance that Jon could head even further South, to King's Landing, or anywhere in between. However, all signs point to Jon returning to Winterfell, and with Ser Davos and Melisandre at his side (assuming they leave with him), Season 6 just got a whole lot more interesting.
Let's just hope that wherever the former Lord Commander is headed, he gets there fast.