Each wolf is one of the Starks Jon=Ghost, Arya=Nymeria etc.
After each time a significant thing has happened to one of the Starks then the same thing has happened to the Wolf.
Rob's died and was beheaded in the same manner that he was, but it died after Rob did.
Arya's was sent away by her, but reflects her identity. She has been lost and has never really belonged as a Stark, shes known this for a long time yet it became apparent when she was on the Kings' Road on the way to Kings Landing. She didn't want to be a lady nor to marry into a wealthy house. She wanted to be her own person and her fleeing to Bravos is not only to lose herself but to find who she truly is. Nymeria is the same aspect. The wolf reflects Arya's inner detachment by being quite simply a 'lone wolf' and the fact Nymeria roams Westeros as the head of numerous packs shows that she also does not know quite yet where she belongs (pretty hard to put in the film tho).
Bran's is an extension of himself. It helps him eat, gives him security and warmth, protects him. (Canny remember the name of Bran's). But it does all the things that Bran cannot yet allowing Bran to do those things that he is no longer able to.
Sansa and Lady to me are the easiest to think of. Lady was killed on the day that Sansa betrayed her family by not sticking by her Sister, her flesh and blood, and so in turn Sansa betrayed her family which led to the death of her 'ties' and thus meaning that she, at that point, was no longer a Stark.
Jon's never died after his death therefore to me I surmised that Jon wasn't actually dead. I wasn't sure how he would return but i was sure that he was due to the fact that each wolf is an extension of themselves. If the person dies, or does something against their family, then the wolf dies with them.
I've explained my 'theory' or personal preference in a really bad way, pretty whacked so I might try and explain it with more clarity tomorrow.
