Jon Snow and Sansa Stark reunited in the Season 6, Episode "Book of the Stranger," and, while Sansa was desperate to go back to Winterfell and restore order, Jon expressed some exhaustion with the constant battling. So will Jon Snow and Sansa rescue Rickon on Game of Thrones? They'd better hurry if they want to.
Right after we watch Ramsay Bolton murder Osha, one of his bannermen delivers a letter from the Warden of the North to Castle Black, where a resurrected Jon Snow and Sansa are hiding out. The letter is penned by Ramsay and it condemns Jon for allowing Wildlings past The Wall, calling him a traitor. Ramsay also details how he's taken Rickon prisoner, is keeping him in a dungeon, and has his direwolf's head as a neat decoration. He claims that if Jon returns Sansa to Winterfell then no trouble will befall him or his Wildlings. But if he doesn't, Ramsay threatens to ride North, take on Jon's armies, slay The Wildlings, let all his soldiers rape Sansa, let his hounds eat Rickon, and later, let them devour Jon.
Perhaps the most unnerving part about this scene is that no one seems all that surprised by Ramsay's horrific threats. Jon Snow is mostly taken aback that Ramsay has become Warden of the North during his brief stint in the afterlife, and Sansa has to explain how he killed his father.
She insists that they ride to Winterfell to get Rickon back, and while Jon tries to point out that it may be a trick, Sansa eventually convinces him that it's too horrifying a risk to take. She remembers that Ramsay has 5,000 men in his armies, but the Wildlings are a paltry 2,000. Sansa points out (bravely, considering that everyone else is patiently eating their boiled meats and none too keen to take on Ramsay's army) that Winterfell will fight for Jon Snow if he asks them to, thanks to their undying loyalty to House Stark. Eventually, Jon relents and agrees to go back to Winterfell.
For plenty of fans, this was the mistake on Ramsay's part they were hoping for. By using Rickon as bait, he buys him more time to survive. This opens the door for Ramsay's demise, either at the hands of Jon Snow, a Wildling, a Stark bannerman, or (it seems likely) even one of his own men during the presumptive fray who recognizes him as a terrifying threat. The ensuing chaos may give Rickon his big break to escape and rejoin his brother and sister.