Maybe he "pulled a Kara" (Maelstrom) as well (meaning he didn't really die? - or at leat the same thing might have happened to him that happened to her, whatever it was), or he got resurrected. Since we haven't been told hardly any backstory yet, it's really hard to dismiss anything at this point....until January 2009.
I have read somewhere that Eddie Olmos actually wept when he read the script for the final episode, and others of the cast were deeply moved when they read it.
And so he spoke, and so he spoke, that Lord of Castamere,
But now the rains weep o'er his hall, with no one there to hear.