Gendry

"Row, row, row your boat; Gendry down the stream." - Last seen in S03E10. He was told by Davos to row to King’s Landing. He has to have drunk his own piss by now...

Rickon, Osha and Shaggydog

Last seen in S03E09. They were heading for the Umbers at the Last Hearth.

Edmure Tully

"I heard the party died after I left." - Last seen in S03E09. He was about to consummate his marriage with Roslin Frey.

The Blackfish (Brynden Tully)

"I need to find a tree to piss on." - Last seen in S03E09. He escaped the Red Wedding when he left to take a piss. His whereabouts are unknown but some say he's still pissing to this day...

The Brotherhood Without Banners

Last seen in S03E07. As worshippers of the Lord of Light, the Brotherhood sold Gendry to Melisandre. They haven’t been mentioned this season but one would assume they are still resisting the Lannister’s rule of the Seven Kingdoms, protecting the smallfolk around the Riverlands area.

Jaqen H'ghar (Faceless Man)

"Jaqen is dead." - Last seen in S02E10. He changes his identity from Jaqen H'ghar and leaves Arya with a Braavosi coin. He tells her that if she ever wants find him again, she must give any man from Braavos the coin and say the words, “Valar Morghulis.”

Quaithe

Last seen in S02E07. She tells Jorah in Quarth that the thief who stole Daenerys’ dragons is with her. A mysterious figure, we have only seen her in two scenes, the other being when she told Jorah to never betray Dany again

Myrcella

Last seen in S02E06. She was sent to Dorne by Tyrion to marry Trystane Martell. Oberyn tells a distraught Cersei that her daughter is safe in Season 4. She has been a very minor character so far but she could potentially very important with her marriage alliance to the Martells.

Illyrio

Last seen in S01E05. He was seen by Arya plotting in secret with Varys and discussing matters concerning Daenerys and Ned Stark. I imagine both these characters will have major impacts in the long run.

Nymeria

Last seen in S01E02. She was ordered by Arya to flee after biting Joffrey. I hope she reunites with Arya but looking at GRRM's track record, that seems unlikely...