In Season 3, Episode 9, "Rains of Castamere", Bran asks Rickon and Osha to head to the Last Hearth, seat of House Umber. 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 bannermen of House Stark that remains alive and free.

This is the related dialogue among Bran, Rickon and Osha in S03 E09, "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.


  [1]: http://gameofthrones.wikia.com/wiki/Last_Hearth