Personally, I think Coldhands is Azor Ahai. He disappeared after the Long Night, but when the Others rose again, so did he. When the Red Priests talk about Azor Ahai being reborn, they think it's someone else, but I think it's literal. Also, as he wielded Lightbringer and was all about fire, and is now wight-like, like ice, it works with Fire and Ice, a theme that I think justifies almost all theories (R+L=J)