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During the Tournament in honour of Ned Starks appointment to Hand of the King (The Tourney of The Hand), Ser Gregor kills Ser Hugh of the Vale in what seems to be an accident. However, both Ned Stark and Ser Gregor's brother - Sandor "The Hound" Clegane - seem to think that this was not an accident, and we are also lead to believe that it is not. Ned Stark seems to think that Ser Hugh was killed because Ned had wanted to question him.

By the time Arya makes it to Harrenhal, she has been repeatedly taught one key lesson: her identity makes her a target. While traveling with Yoren and the Night's Watch recruits, she has to work very hard to become "Arry", and pretend to be a boy. When the guards came for Gendry, Arya's first thought is that they've found her, and know who she is. When The Mountain and his men capture them, she knows that revealing her identity would almost certainly result in her being sent to The Tickler.

I finally found an answer by Martin himself: BHW: Why is the wall so tall? Martin: To keep out bad things. Hadrian's Wall was an inspiration. In fantasy, everything is bigger. A friend of mine, Lisa Tuttle (we wrote Windhaven together), had just moved to Scotland and was giving me a tour. We were driving in her car and got to Hadrian's Wall at the end of the day. The tour buses were leaving. We walked along the top of the wall just as the sun was going down. It was the fall.