In ADWD chapter 19, we see an envoy from house Frey that includes Rhaegar Frey, returning the bones of one of Lord Wyman Manderly's sons. But he never makes it to the
wedding of fake Arya at Winterfell.
What happened to him and his companions?
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As copied from the theory section of the wikipedia at Westeros.org, the Theory of the Frey Pies
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The best pie you have ever tasted, my lords. Wash it down with Arbor gold and savor every bite. I know I shall.
-- Wyman Manderly during the wedding of fake "Arya Stark"
The Frey Pies Theory is that Wyman Manderly killed the three Freys (Rhaegar, Symond, and Jared) who disappeared on the way from White Harbor to Winterfell and baked them into the three huge meat pies he brought for Ramsay Bolton's wedding at Winterfell. Supporting Evidence
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I have also heard it mentioned that during this feast and the questioning about the missing Freys, Lord Wyman said "mayhaps" several times. The use of the word "mayhaps" is a part of a children's game the Freys play (the lord of the crossing) where you are allowed to lie, as long as you include the word "mayhaps" in what you say.
The evidence is not overwhelming, but when you read the book with this in mind, it becomes rather more apparent that this is what happened, in my opinion. Especially considering the anger Lord Wyman shows when talking to Davos.
"They watch me, ser. Day and night their eyes are on me, noses sniffing for some whiff of treachery. You saw them, the arrogant Ser Jared and his nephew Rhaegar, that smirking worm who wears a dragon's name. Behind them both stands Symond, clinking coins. That one has bought and paid for several of my servants and two of my knights. One of his wife's handmaids has found her way into the bed of my own fool. If Stannis wonders that my letters say so little, it is because I dare not even trust my maester. Theomore is all head and no heart. You heard him in my hall. Maesters are supposed to put aside old loyalties when they don their chains, but I cannot forget that Theomore was born a Lannister of Lannisport and claims some distant kinship to the Lannisters of Castlerly Rock. Foes and false friends are all around me, Lord Davos. They infest my city like roaches, and at night I feel them crawling over me." The fat man's fingers coiled into a fist, and all his chins trembled. "My son Wendel came to the Twins a guest. He ate Lord Walder's bread and salt, and hung his sword upon the wall to feast with friends. And they murdered him. Murdered, I say, and may the Freys choke upon their fables. I drink with Jared, jape with Symond, promise Rhaegar the hand of my own beloved granddaughter... but never think that means I have forgotten. The north remembers, Lord Davos. The north remembers, and the mummer's farce is almost done. My son is home."
Something about the way Lord Wyman said that chilled Davos to the bone.
My body has become a prison more dire than the Wolf's Den. Even so, I must go to Winterfell. Roose Bolton wants me on my knees, and beneath the velvet courtesy he shows the iron mail. I shall go by barge and litter, attended by a hundred knights and my good friends from the Twins. The Freys came here by sea. They have no horses with them, so I shall present each of them with a palfrey as a guest gift. Do hosts still give guest gifts in the south?"
"Some do, my lord. On the day their guest departs."
"Perhaps you understand, then."
Quotes from A Dance with Dragons, pages 389, 392, Davos IV.