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Tyrion and Bronn run into the tribesmen of the Vale as they are descending after Tyrion is released by Lysa Arryn. In typical Lannister fashion, Tyrion tries to buy his freedom with gold, which doesn't work because gold isn't valuable to the wildlings. He eventually wins them over after promising them better weapons as well as the Vale of Arryn itself.

So they tag along, get some sweet gear from Tywin Lannister, and even join the battle against the Stark forces. Their numbers take a big hit, but they love to fight, so it's all good. Tyrion no longer needs their protection (since he is with a large Lannister host), and he has delivered on one of his two promises. Why do the tribesmen hang around Tyrion after this point? Do they actually expect him to deliver them the Vale? Why don't they just take his manhood (for failing to deliver) and/or leave?

My theory is that they grew to respect him for his mind even though he couldn't fight. He did manage to kill a few Stark men in battle, so that probably helped too. There's also the fact that hanging around Tyrion gets them free food, sick battle gear and plenty of manhoods to chop off and feed to the goats.

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    They were looking for goats to feed Tyrion's manhood to. Not many goats in King's Landing. – user568458 Mar 7 '16 at 17:29
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    Tyrion wanted them around. They were effectively his own private army. Dangerous, ruthless, loyal [enough] and most of all his men (not Tywin's). They stayed because that's what they thought would get them what they wanted. – Möoz Mar 14 '16 at 22:39
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Regardless of whether Tyrion wanted to keep them around or if he delivered on his promises, there would be a few reasons the Tribesmen would stay around:

1. Better armaments - This was one Tyrion's promises to them originally, however the longer they stay the more weapons they can collect. There would even the potential to create a cache to take home after the battles were done. This would ensure all the members of the tribe would have decent weapons, not just the ones who went to fight with the Lannisters.

2. Better food - So long as they remain with the war party I am sure the tribesmen will be able to eat the same rations as the other soldiers. It wouldn't be a stretch to assume that the camp has better and more abundant food than they could gather on their own.

3. Better Potential - It would not be hard to see that the Lannisters have a great deal of wealth and power within the kingdom. After spending a short amount of time in camp the tribesmen will surely hear "A Lannister always pays his debts" ad nausea. Even if the Lannisters were to lose the war they would not go away entirely. Having a proven service record serving for a wealthy house will have its benefits.

4. Blood Lust - The tribesmen seem to love combat and fighting. Being with an army gives every opportunity to satisfy that particular itch.

5. Ultimate Reward - Even if there is a slight chance of the Tyrion's second promise coming true coupled with the above reasons would give the tribesmen good enough reasons to stick around.

While there may not be a direct canon quote; I think we can judge by the portrayal the tribesmen are given that this would be their motivation.

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Skooba has provided a good answer. This is only to complement the details he has missed imo.

Tyrion did not need their protection as he was in Lannister army

False. Tyrion did need their protection. He did not trust his father's men and valued having his own men around him, whose loyalties would be directly to him, not to Casterly Rock, his father, his sister or his brother. Which is one of the reasons why Tyrion refused to hand over his band of clansmen to his father when he was appointed to the position of Hand of the King in his father's stead. In Chapter 69 of AGOT:

When they were alone, Lord Tywin glanced at Tyrion. “Your savages might relish a bit of rapine. Tell them they may ride with Vargo Hoat and plunder as they like-goods, stock, women, they may take what they want and burn the rest.”

“Telling Shagga and Timett how to pillage is like telling a rooster how to crow,” Tyrion commented, “but I should prefer to keep them with me.” Uncouth and unruly they might be, yet the wildlings were his, and he trusted them more than any of his father’s men. He was not about to hand them over.

Tyrion never made a promise of the sort that he would send Armies of Westerland to wrest the Vale from Arryns and hand it over to Clansmen. He pledged to provide them weapons (Which he did) and they wrecked havoc in the Vale afterwards, as they knew themselves that the fight to carve a better future for themselves was theirs alone.

So he took the Clansmen along with him to KL.

Clansmen were fierce and honorable in their own way. They were also loyal to him which made them such valued commodity in Tyrion's eyes and he relied on them with many tasks of sensitive nature. They shouted "Halfman" as their battle cry:

Shagga had an axe in either hand. He smashed them together and made them ring. “Halfman!” he shouted. Other Stone Crows picked up the cry, and the Black Ears and Moon Brothers as well. The Burned Men did not shout, but they rattled their swords and spears. “Halfman! Halfman! Halfman!"

Other than that as Skooba noticed, they had better chances of plunder (As they plundered Stannis's baggage trains) and lived a better standard of life serving as men of a Lannister than they were accustomed to in their native mountains. They complained about smell, bad water and swindling populace but they still remained, why? For Money, personal loyalty and better prospects.

And then of course there were fancy city-women to have as well to which Shagga was so partial. From ACOK:

“Shagga wants this woman.”

“Shagga wants every whore in this city of whores,” complained Timett son of Timett.

In conclusion, concurring with Skooba, following seem to be their reasons to stick along:

  1. Better Prospects of Plunder
  2. Personal Loyalty to Tyrion
  3. Hope to keep the Lannister support for Mountain clans open
  4. Better living standards

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