Maybe it has to do with my messed up childhood, but torture (which I suffered nothing like during childhood, just other messed up stuff) causes me to have empathy with the torturee.

I can also empathize with Theon for he was a person that was caught in between two different completely worlds with Stark and Greyjoy. Their cultures are nothing alike and those families went to war with each other. I sympathize with the pain he had to experience with choosing a side.

That said Theon became a monster and passed the point of no return when he killed the two innocent boys and flayed them so he could state he killed Bran and Rickon.