I think it's mostly because people have been theorised for years that he was this mysterious guy, Coldhands, who showed up north of the wall in the books, looked like a wight and was clearly dead (Bran's direwolf reacted to the smell from his hands), but at the same time he wasn't one of the White Walkers' resurrected drones. He's the one who kills the first walker with a dragonglass dagger, not Sam. He also helps Bran to get to the three-eyed raven. He refused to show his face. Martin is supposed to have said that Coldhands wasn't Benjen Stark, but they've obviously fused the two characters on the show.
He was supposed to ride a big fucking elk though. I wanted more elk in Game of Thrones. It really would have tied the episode together.
