Possible spoilers for the Three-Eyed Raven's identity and Jon's story
The Three-Eyed Raven is Brynden Rivers, nicknamed Bloodraven. In his earlier life he was a bastard son of a Targaryen king. In the books he is an albino and a skilled archer. His mother is from House Blackwood, which has ravens for its sigil. Brynden has a red, raven-shaped birthmark on his face, and that's how he earned his nickname. He lost an eye fighting for his half-brother Daeron II during the Blackfyre Rebellion. He used his skills as a greenseer to spy and root out traitors. Think of Varys if he were actually loyal to the king and had far more ability to spy anywhere. There was a saying that Bloodraven had "a thousand eyes, and one." (If you pay attention on the show, this verbal clue is dropped when Bran meets him.) After serving as Hand to two of his nephews, Bloodraven landed in the black cells during the reign of Aegon V (Maester Aemon's brother). He went to the Wall with Aemon, eventually became lord commander of the Night's Watch and then disappeared beyond the Wall.
So that's who the Three-Eyed Raven really is.