1. Who they worship. The god of many faces = death = the great Other.
2. Jaqen H' Ghar was on his way to the wall and then turned around and went to Old Town and is getting cozy with Sam. Why? He wants Sam's horn (and probably the Dragon book from the citadel).
3. In their origin story the kindly man tells Arya, it's clear that they have no love for Dragons.
4. In Dany's HoTU visions there's a black and white (the colors of the faceless men) door that guards the Undying Ones.
5. The boat full of escaping Wildings curiously just happened to show up in Braavos.
6. Dany also symbolically sees the ants going around and over a barrier (the wall) at the end of ADWD.
7. RE: Arya. Melisandre tells Jon that his "sister" is coming. Well we all know his real sister isn't the one that arrived at the wall. Also the show kind of dropped a book spoiler when she told Arya that they'd meet again.
There's a lot more if you want to dive deeper here's a good link discussing these theroies http://asoiaf.westeros.org/index.php...piracy-theory/
It goes into Varys and all sorts of things that make a lot of sense.