Best article I've read so far outlining the options for Jon Snow:
http://www.vanityfair.com/hollywood/2015/06/jon-snow-dead-game-of-thrones-azor-ahai-melisandre-warg
Yes this is a great summary. Book Spoilers:
The only thing it doesn't mention is that the prologue to the last book included a scene of a random warg transferring into his animal as his body died and living out the rest of his life trapped in the animal's body. The show may not go this route, but that is probably why they changed Melisandre's location to be near Jon when he died.