re: Is there a more tragic character than Theon Greyjoy, ever?

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One really horrific thing that is made clear in the books is that he looses his fingers, toes, etc. by having them skinned and then having to beg to have them cut off when the pain from the skinning is too excruciating to bear. I'm not sure that part comes across clearly in the show. Hell, the show really can't depict the actual act of skinning which would probably be too much for even HBO.

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Even better.....the twisted feelings of "gratitude" for him to alleviate his pain by removing the extremity.