Did you read the books? I have a theory on the hound, but I don't want to spoil anything. All the same, and as brutal as Oberyn's death was, I think the Red Wedding had a bigger punch for me. First Robb watching Tulisa die, then Catelyn watching her firstborn... that scream she let out went right through me.
The thing about the Starks is the majority of them are too noble for the world they're in. They make huge mistakes, but with a few exceptions, they make them with the best intentions. They're often frustrating - Ned was just begging to be killed off, and you knew Robb was a goner the second he broke his marriage pact - but I can't help but pull for them. I know it's unlikely, but I'd at least like for the remaining Stark children to survive the series and have a happy ending. Or for Asha to teach Rickon the wildling ways, and for Rickon to conquer the seven kingdoms and feed the corpses of every last noble house that took his childhood away from him to Shaggydog. Whichever.