Something else that I was thinking about this week, while waiting to see if Jon would get attacked and how it might play out, is that the show (and the books too, for that matter, although to a lesser extent) has a real problem if Jon is dead for real. That problem is that they will have killed off too many interesting characters that the viewers enjoy watching. Good guys like Ned, Robb, Oberon, Mormont, Selmy and Cat, bad guys like Joffrey, fun to watch bad guys like Tywin and the Hound* and Drogo and probably half a dozen others I can't think of. My point is, lose too many core characters that people care about and they stop wanting to watch. Jon's death, for reals, would seem less like a valid plot direction and more like just a giant FU to the viewers.
And honestly, it would be. Jon has been built up as an important character. His background and history have been woven through the entire tale. In the books, Neds POVs made it abundantly clear that there were important things Jon needed to hear. We've been privy to his POVs and thoughts for years, and know that he's one of the few people in Westeros that understands the threat that the Others bring, and he should have an important role to play in that fight. Clues have been laid that show just how unique he might be to fight them. Killing him now means that a big chunk of the past 5 books was a waste of time.
I hear people grumble on other boards about "plot armor" and how Jon, Dany, Tyrion, Arya etc are immune from being killed because they have it. But honestly, plot armor is just another way to describe solid storytelling, where the bones of the story are laid out in advance and the tale builds on itself in a logical, continuous way. I have no doubt that when the sun sets on ASOIAF, most of our "heroes" will be dead. But the groundwork has been laid for their deaths to matter. Killing them off now, just to prove that no one is safe, is cheap, and I will honestly be really surprised if it happens.