Reason One: Fan Service
People who watch Game of Thrones know how this show works. The important characters never really die. No matter how brutal they may be treated, the really vital players live to the end. Most of the Starks who were murdered were not that vital to the end game, but Jon Snow is. In fact, in season 5, episode 8 titled “Hardhome,” he could have died when he was fighting one of the others when he was attempting to get the dragon glass.