Is there any real life historical parallel for what Ramsay did to Theon? Were noble, high value hostages ever tortured, or was being captured by the enemy a relatively comfortable existence (at least compared to what the commoners experienced)?

Both could be the case. While usually hostages were too important to mistreat, there was a surprising number of medieval and Renaissance rulers who preferred the Keyser Soze method of interpersonal negotiations. 

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