Maybe it's because he's rather pathetic little wimp who tried to solve some of his daddy issues by massacring the inhabitants of Winterfell, which he was not even able to do correctly. Not to mention the Ironborn are a bunch of tools anyway. I have no sympathy for Theon.
Edit: I enjoyed Tobias Menzies as Edmure Tulley. He went from playing Brutus the ponce in Rome to Edumure the ponce in GOT.