Jon being Lyanna and Rhaegar's son seems like a lock to me. There was (supposedly) show only speculation to this regard, and after letting Lord Dotrice whisper in my ear for dozens of hours, I'm pretty convinced. The thing is, if this is true, it probably requires Melissandre to have abandoned Stannis after realizing that Jon was the real deal-- which would seem to leave Stannis without much purpose, especially in the show.