I think mostly because Theon betrayed Robb. But also taking over Winterfell and killing some of the people there.

@Heisenberg12 said:

When Greyjoy is coming back with the boat, and Snow says "If it wasn't for what you did for Sansa I'd kill you"....Why would he kill him? For taking over Winterfell and killing those two farmer's boys? I assume that's what it was. Or was it something more personal? I forget as it was several seasons ago...

The filthy scumbag raided the Stony Shore, killed many innocent people (either personally or by his subordinates), among them two orphans and Ser Rodrik Cassel - so he can show his old man, who didn't give a **** about him, what a big shot he was. Aren't these enough reasons in your eyes to kill him?!

I hope and pray that Stannis, who currently holds him captive (in the books), will burn him alive. Beheading is too quick and merciful for the Turncloak.

He killed Jon's swordmaster, and what's more, botched the beheading. That's serious business. Remember what Arya did to the guy who killed HER swordmaster? Poked his eyes out and killed him off slowly.