Clues about Rhaegar and Lyanna, together, or by themselves:
Rhaegar is (presumably) mentioned in Daenerys' perspective, in the House of the Undying prophecies (also here) like this:
Rubies flew like drops of blood from the chest of a dying prince, and he sank to his knees in the water and with his last breath murmured a woman's name.
Presumably this woman is Lyanna. Also noted in the prophecies is:
A blue flower grew from a chink in a wall of ice, and filled the air with sweetness.
Which may be a reference to Jon (at the Wall), the presumed love child of Lyanna (blue roses) and Rhaegar (link to Daenerys).
And of course, Daenerys sees Rhaegar as one of the visions in one of the rooms in the House of the Undying:
The man had her brother’s hair, but he was taller, and his eyes were a
dark indigo rather than lilac. "Aegon," he said to a woman nursing a
newborn babe in a great wooden bed. "What better name for a king?"
"Will you make a song for him?" the woman asked.
"He has a song," the man replied. "He is the prince that was promised,
and his is the song of ice and fire." He looked up when he said it and
his eyes met Dany, and it seemed as if he saw her standing there
beyond the door. "There must be one more," he said, though whether he
was speaking to her or the woman in bed she could not say. "The dragon
has three heads."
The woman would be his wife, Elia of Dorne. Presumably, the "third head" he is talking about is Lyanna.
The prohecy Rhaegar is referring to there is the one foretold about the Prince that was Promised, which was retold to Rhaegar's great grandfather Aegon V Targaryen (aka Egg from the Dunk & Egg novels) by the Ghost of High Heart (the little dwarf ghost lady that Arya meets when she travels with Lord Beric's gang). She foretold that The Prince that was Promised should come from the line of the mad king Aerys II, which is something that Rhaegar took to heart. Aegon V's daughter is also coincidentally Robert Baratheon's grandmother.
The propecy of the Ghost of High Heart eventually lead to the Tragedy at Summerhall, the Targaryen summer residence which was the seat of Maekar, the father of Aegon V (Egg). The tragedy was presumably the result of an experiment to hatch dragons by Aegon V. Prince Rhaegar was born on the day of that tragedy, and may be the "dragon" that was hatched. Rhaegar was often preoccupied with this tragedy, spending time alone in Summerhall and writing sad songs.
In the story of the Knight of the Laughing Tree, we see Rhaegar at the tournament at Harrenhal, where he crowns Lyanna the Queen of love and beauty. A theory about this event is that Lyanna is the mystery knight, and that Rhaegar unmasked her, therefore thinking of her as a great warrior maiden (which she by accounts was). Which may be why he crowned her, and why he felt she would be a suitable "third head" in his prophecies.
All in all, Rhaegar was a melancholy man that was preoccupied with prophecies. It does not seem likely that he would abduct and rape a woman, like Robert claimed.
Also, of course, we have the promise that Ned Stark made to Lyanna (Promise me, Ned -- AGOT), when she was in her death bed. What could it possibly have been, that Ned would obsess over it during his time in King's Landing and in the dungeons? A good guess would be something to keep secret from Robert, because Robert swore to "kill all the dragonspawn [he] could get [his] hands on", such as a son of Rhaegar: Jon.