This is Coldhands, who plays a relatively small but important role in Game of Thrones - but if you only watch the show version of Game of Thrones, you don't know him. Basically, he's a helpful possible-wight who seems to still have his humanity, and pops into the stories of Samwell and Bran to lend them a hand (a COLD-hand, if you will).
We never actually see Coldhands' face, but the presiding theory has long been that this was Benjen Stark - Ned Stark's brother and Jon Snow's uncle, a ranger in the Night's Watch who went missing north of The Wall early on in Book 1. Coldhands wears the clothing of a man of the Night's Watch, indicating he may be the reanimated corpse of a now-deceased member, and we still have no idea (mostly) what happened to Benjen.
But George RR Martin, not content with only killing our favorite characters, is now off to killing our favorite fan theories.
Redditor _honeybird visited The Cushing Library to go over the original manuscript to A Dance With Dragons, which included notes from his editor and Mr. Martin himself. As you can see above, his editor notes the possibility that Coldhands is actually just an alias for Benjen Stark and wants that aspect clarified a bit. But George RR Martin simply knocks it down with a big 'ol "NO" written in red ink (or the blood of the innocent, it's unclear).
Here's the rest of the post, which has many more notes and interesting tidbits (like how annoyed GRRM's editor got at the repeated phrase "words are wind"). It's very much worth checking out.
So that does it - Coldhands isn't Benjen. Maybe Benjen is just dead and is never going to appear again? It's possible, but that would be a pretty anticlimactic and unsatisfying end for a character that...oh wait, right, this is George RR Martin, nevermind.
Please, George, all that we ask is that you leave R+L=J alone.