I always thought being part of the Stark family Rickon is an important character in Game of Thrones. We have not seen him after the 4th season. He left with Bran from Winterfell, however he is not with him anymore. Is he hiding with some bannerman?
In Season 3, Episode 9, "Rains of Castamere", Bran asks Rickon and Osha to head to the Last Hearth, seat of House Umber, who are sworn to House Stark. They left in the night, separating from Bran, Hodor, Meera and Jojen.
Note that Jon Umber "the Greatjon", head of House Umber, unlike in the books, is not present at the Twins during the events of the Red Wedding, making him one of the few loyal bannermen of House Stark that remains alive and free. This makes Last Hearth a safe place for Rickon to stay in.
This is the related dialogue among Bran, Rickon and Osha in S03E09, "Rains of Castamere" (emphasis mine):
Bran: (to Osha) I'm not asking you to come with me. It won't be safe for Rickon.
Rickon: Me? I'm coming with you.
Bran: No. You and Osha and Shaggydog head for the Last Hearth.
Bran: The Umbers are our bannermen. They'll protect you.
Rickon: I'm coming with you. I'm your brother. I have to protect you.
Bran: Right now I have to protect you. Robb's at war and I'm going beyond the Wall. If something happens to us, you're the heir to Winterfell.
Bran: (to Osha) Would you know how to find the Last Hearth?
Osha: You southerners build your big castles and you never move. You're easy to find.
In Season 6, Episode 3, "Oathbreaker" it has been revealed that Rickon and Osha made it to the Umbers, and that Jon Umber "the Greatjon" is dead. The current head of House Umber (Smalljon Umber) is not loyal to House Stark and has delivered Rickon and Osha to Ramsay Bolton in Winterfell.
It all depends on if the show follows the storyline of the books.
Rickon & Bran leave each other much earlier in the books. In the second book, A Clash of Kings, Osha takes Rickon away to an unknown location immediately following Ramsay's sack of Winterfell.
The fifth book, A Dance with Dragons, we are informed of Rickon's location. Theon's mute squire who was apparently hiding in the nearby heart tree when Bran and Rickon depart gives his location away: he's in Skagos, a large island off the east coast of the North, infamous as the home of both savage cannibals and feral unicorns.
Davos Seaworth travels around the North seeking allies for Stannis in his efforts to reclaim Winterfell from the Boltons. In the court of Wyman Manderly, a bargain is struck between the Northern lord and the Hand of the King. The bargain in short is for Davos to bring Rickon back.
If the show follows this storyline and Davos is successful, then Rickon may show up possibly next season.....possibly cannibalistic with a pet unicorn??