Book readers have been blogging about this on the internet for years. The end of George R.R. Martin's A Dance with Dragons, left much to the imagination. In the book, Jon is a warg, as are most of the other Stark children. The prologue of Dragons focuses on the character Varamyr Sixskins, a powerful warg beyond the wall who was able to prolong his life after his human form was killed by warging into the consciousness of several different animals. So when the book ends, and Jon snow is stabbed by his brothers and lays bleeding out, he calls for Ghost. So there are a lot of fan theories based on evidence in ASOIAF that believe Jon survived the stabbing by warging into Ghost.
The adaptation has not shown any of the Stark children as wargs except for Bran. I understand this from a show running point of view, as this ability distinguishes Bran and enhances his importance in the eyes of the viewers. However, I still waited up until the screen went to black for Jon to whisper Ghost's name, I thought maybe that would be the moment to reveal that he can also warg. It didn't happen.