Robb Stark's death at the Red Wedding was one of the most shocking moments in both Game of Thrones and the A Song of Ice and Fire book series it's based on, but he might actually have been killed twice at the event. In Game of Thrones season 3 and A Storm of Swords, the Red Wedding is the devastating payoff to a revenge and power-fuelled conspiracy by the Houses of Lannister, Frey, and Bolton, and is the most surprising (and brutal) bloodbath yet at the point it happens.
While the Red Wedding plays out in some similar ways on both page and screen, there are some key differences. In the books, for example, Catelyn Stark's reaction is a far more visceral one, making gouges in her own cheeks that would later come to define her appearance as Lady Stoneheart. While the show toned this aspect down, it amped up the drama in other ways, such as including Robb's pregnant wife, Talisa, whereas in the books the woman he married - Jeyne Westerling - isn't present. These differences don't impact the overall outcome too much - Robb and Catelyn both dead, and the Northern Rebellion stopped in its tracks - but some of the subtleties in them do make for interesting reading.
In Game of Thrones, Robb Stark's final word is "mother," as he calls out to Catelyn. In the books, however, Robb's last words are "Grey Wind," the name of his loyal direwolf who is also killed at the Red Wedding, with his head later sown onto Robb's body. While this may seem fairly innocuous at first, it does pair up with another theory. The commonly held belief surrounding Jon Snow's resurrection in the books is that he has warged into his direwolf, Ghost, and that's how he'll eventually be brought back. There are a few pieces of evidence to support this - Jon is frequently shown to be a warg, and the wording of his death scene implies he isn't fully gone, but crucial to the notion is that the last word to leave Jon's lips is "Ghost". Obviously this gives a thematic parallel to Robb, the two fallen sons of Ned Stark who died because of their decisions regarding loyalty and honor, but it could also suggest that Robb also transferred his consciousness into his direwolf when he was killed.
Because Robb wasn't a point-of-view character, readers didn't get a chance to see or hear about his experiences warging into his direwolf like they do with Bran, Jon, and Arya (while Game of Thrones largely failed completely in this area), but it's strongly suggested it does happen (and Martin himself has commented that all the Stark kids have the warging ability). Although he seems to reject it at times - telling Catelyn he is "not a wolf" - that itself fits again with Jon's own experiences of warging, while Arya, another warg, refers to him as "more wolf than man".
Varamyr Sixskins, a warg readers meet in the Prologue to A Dance with Dragons, speaks of having a second life as a warg - with a direwolf even specifically mentioned. This is taken as a key piece of foreshadowing for what will become of Jon, but Martin does like there to be multiple possible meanings and interpretations behind much of what he does. If a warg can have a second life, then Robb briefly lived as Grey Wind after being killed at the Red Wedding. The only problem is, unlike Jon/Ghost, Grey Wind himself was then murdered shortly afterwards, which means Robb Stark died twice in quick succession, making the Red Wedding even worse than it initially seemed in Game of Thrones.