'Game of Thrones' recap: Your Dragons Are Not Your Babies
Furthermore, because nobody outside the North knows that Bran and Rickon are supposed to be dead, Catelyn Stark has panicked about having four of her five children being held hostage. Although only Sansa is really a prisoner at the moment, she's worried about what would happen if the Karstarks have their way and kill Jaime Lannister. So she has Brienne take Jaime out of the Stark camp, which means that now Catelyn is a prisoner. Because Robb Stark puts her under arrest.
Over in Harrenhal, Arya learns that Tywin Lannister is about to make an unexpected attack on Robb's army. So she finds a way to escape! Specifically, she traps Jaqen H'ghar by his own weird rules. She gives him his own name, so he has to either kill himself or help her escape. And he does! So now Gendry, Hot Pie, and Arya are out on the road.