Theon and his chains
1. the real Stark chains, the humiliation and fear always lingering in his mind despite the Northern propaganda presenting him as a ward. Robb may not have bought into this, even he resorts to it in a moment of anger - and it is not a coincidence that we get a line showing Theon remembers it months and months later! His only friend could never see and treat him as an equal (it chafed me raw, etc etc)
2. the gold chain, symbolising here his self-made chains, his obsession with his appearance and false nonchalant persona - this defense mechanism will eventually trap him and contribute to his downfall and corruption (we do not discuss enough the meaning of this character trait even though GRRM's dwells so much on it in ACOK)
3. the chains he escaped, as a "well-treated" hostage and prisoner, he was not kept in some dark dungeon and at least partially internalised the tale that presented him as a ward. Call it Stockholm if you want, those are the chains that encourage him to support the Stark cause and be very adamant about it during Robb's war (I don't think it was an act at all). Ultimately, in Winterfell, it is this poisoned feeling of gratitude towards his captors that will shape his attitude towards the people of Winterfell he is now the geoler of - "I did not kill and torture them, so why don't they pursue my love and recognition, like I did with my own captors?"
4. the chains Ramsay forces on him. Those chains destroy every defense mechanism he had. Backed into a corner, he has no choice but to live as himself and at last act like the person he always was deep down. Those chains are removed by Roose so as to control him better. I think that would deserve its own meta (please, someone!)
5. Stannis' chains. Because try as he might, Theon may never escape this fate. He has lived most of his life as a prisoner. The world barely see him as a person. But he has found his own self, the old gods (well, Bran) see him as a person with a name and his own place might not be in the world of morals and their chains after all.