Spot on RC (I think I've been saying something similar to you and bohemianroxie, haven't I?)
Like you say, Theon wasn't a two-dimensional character. He had a lot going on.
When we first meet him, he's a smarmy, smug, unlikeable, sycophantic jerk, but season by season he gradually earns our sympathies. Like you say, not only is he one of the characters who undergoes the worst abuses throughout the course of the show, he's also tormented from the start by his desire to win other people's approval, whether it's Robb, his toxic father, Yara, or eventually the people of Winterfell including Sansa, who shows him the compassion he desperately needs, and Bran, who finally validates him as a human-being and thus gives him the 'permission' to die with honour.
Still I think he had some choice. He could have returned to the Iron Islands with Yara, who did show him unconditional love, as his sibling, yet he chose to be part of something bigger and truly redeem himself to the people he'd most greviously betrayed.
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