The Theon Greyjoy torture scenes in Game of Thrones were some of the most difficult to watch. Theon was tortured by Ramsay Snow (later Bolton) for years in with the latter's motivations showing why he was one of the show's most twisted villains. Theon had an incredibly complicated journey in Game of Thrones, playing both hero and villain at various points, but a large portion of his story was taken up by his being tortured by Ramsay. The torment inflicted upon him was one of Game of Thrones' darkest and longest-running stories, turning him into the broken Reek and establishing Ramsay as one of the show's biggest villains.

Though Theon returned from being Reek and even completed his redemption by the time of Game of Thrones' ending, his suffering at the hands of Ramsay stayed with him. The storyline itself began with some cloak-and-dagger mystery (though more of the dagger, since this was Ramsay), with the identity of the tormenter kept a secret from Theon for part of Game of Thrones season 3. Because of this, and Ramsay's own nature, then it did lead to some confusion as to why Theon was tortured, but there's a simple (if brutal) explanation.
Theon Greyjoy Was Tortured Because Of Ramsay Snow's Sadism
The Theon Greyjoy torture initially came with a broader purpose for House Bolton, because, as he was a wanted enemy of Robb Stark for the supposed murders of Bran and Rickon Stark.
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