For the first few seasons, we just don't realize how much we really cared for Hodor. Granted he doesn't do much besides carry Bran around, say Hodor, and gets hurt by people much smaller than him. Bran could warg into his body and makes him useful.
Unlike Jojen Reed, Hodor makes it to meet the Three-Eyed Raven with Bran Stark and Meera Reed.
Through magic flash-backs we learn that he was a simple stable boy named Wylis (Walder in the books, though Wylis might just be a nick-name on Walder or just an attempt to avoid confusion with Walder Frey) who actually speaks real words at Winterfell with the young Ned, Lyanna, and Benjen Stark.
Then we learn that Hodor is short for Hold the Door as the young Wylis got warged into some crazy time loop which made him experience his horrible death inside his own mind which forever warped him. Now that's sad!