R = Rhaegar Targaryen
L = Lyanna Stark
J = Jon Snow
Last night's episode confirmed the decades long theory that Jon Snows real parents were Rhaegar Targaryen (The Prince at the time, son of the Mad King) and Lyanna Stark (Ned's sister). Lyanna made Ned promise her that he will protect the child and raise him as his own, since "Robert (Baratheon) will kill him". Remember, going back to season one, even all these years later, King Robert wanted all the Targaryen's dead (sent assassins to kill Daenerys when he found out she was alive).
The quick history recap:
Robert's Rebellion started because Rhaegar Targaryen supposedly kidnapped Lyanna Stark, Robert's betrothed. This is what ultimately sparked an uprising and led to the Targaryen's being overthrown and Robert Baratheon becoming king. However there have been hints that Rhaegar never kidnapped Lyanna and that they could have simply fell in love and she got pregnant. It's one of the coolest stories in the books imo because of the massive consequences.
It's also cool because Ned was so honorable, to a fault. So honorable it was his downfall in the end. But because of his promise to his dying sister, he had to lie to his wife and keep that lie for the rest of his life, an extremely heavy burden on the honorable Ned, making up a story that while gone at war he banged some random whore/woman who fathered Jon and he brought back his bastard son, something entirely out of character with Ned and something that obviously weighed down on him.
Also, by all accounts, Rhaegar Targaryen was a stand up dude, smart, charming, talented in pretty much everything he ever tried, the people loved him and the women even more. He had everything so it never made a lot of sense why he would kidnap some random chick when he could get anyone he wanted, plus he was already married to the Dornish princess Elia Martell (You raped her! You murdered her! You killed her children!"). Towards the end, he suddenly started reading a ton and started to somewhat obsess over "the prince that was promised" and all that stuff. So it's likely he may have knew or suspect what was to come (the Nights King, etc.) and perhaps he knew a child born of "fire & ice" (Targaryen + Stark) was required to ultimately defeat the Nights King.