The Red Priestess
After landing at castle black with Stannis, Lady Melisandre tries to seduce Jon and says something about casting shadows. It was the same reason Melisandre shared a bed with Stannis and Robert's bastard -- in order to cast shadows. In A Dance with Dragons, Melisandres' powers amplify after reaching the wall, an indication that she is close to Azor Ahai. However, Jon doesn't trust Melisandre (and the fact that she led Stannis Baratheon to defeat at Blackwater Bay and Winterfell would make anyone skeptical), not to mention that Melisandre confessed to Lady Selyse Florent that sometimes she uses concoctions to trick believers.
Dreams, Nightmares, and Visions
Although we haven't seen it on TV, Jon is a warg in the books. That means he can control the mind of Ghost, his dire wolf. Like Bran Stark, Jon Snow occasionally experiences visions or symbolic dreams. Notably, Jon dreamt that he was wielding a burning sword. According to the prophecies, the warrior who draws a burning sword from the fire shall be the chosen one who will save the world from darkness. Still, in A Dance with Dragons, Melisandre sees a vision of Jon Snow changing into a wolf, then a man again. While gazing upon the flames, Melisandre also sees Jon Snow surrounded by his enemies (which came to pass when he was stabbed to death). Since the vision of Jon surrounded by daggers in the dark was accurate, it's safe to assume her first vision of Jon Snow becoming a wolf will happen.
His Dark Eyes
There was something about Jon Snow's eyes when he let out his last breath. The way his pupils widened and his eyes darkened. Although it's a natural occurrence in death, it could mean something in relation to the prophecy. In the books, Tyrion and Jorah come across a priest at the red temple in Volantis proclaiming an ancient prophecy about the dark eye falling upon the prince. Tryion ponders on the ancient prophecy (although he doesn't elaborate). It could mean an evil force or literally a dark eye.
The Author's Clue
George R.R Martin gave two reasons why he rejected a Hollywood movie based on 'A Song of Ice and Fire' and instead opted for a TV show. Of course, a 2 hour Hollywood movie would cut off major plot lines from the novel compared to a 10 hour season. However, George RR Martins' main concern was that he didn't want Hollywood to turn his books into a movie based on Daenerys' or Jon Snows' hero story. The fact that George RR Martin mentioned Jon means a lot. It's common knowledge, there are no heroes in Westeros, but the closest character will be the one who will play a vital role in saving the 7 Kingdoms against the army of the dead. How can Jon be considered a hero when he was stabbed to death even before the invasion began? Unless there's more about Jon Snow's story than whats been revealed. Unlike other times when George RR Martin confirmed the death of major characters, the author remains aloof regarding what exactly happens to Jon -- urging fans to find out in 'Winds of Winter'.