In G. of Thrones, Mother's Mercy, at Winterfell, Theon and Sansa leaped off the castle wall together. Are they dead? (The wall seemed high.)?

Yes, the wall was VERY high but the snow was also deep enough against the castle to cushion their landing if they landed on their backs. The sun wouldn't have melted it where they jumped so they are most likely alive with just the wind knocked out for a minute. Hopefully they will run into Brienne and Pod as they head into the woods and will get help.

We won't know for sure until next spring. It's un-chartered territory because the scene isn't in the book. My guess is, at the very least, Sansa lives. I hope Reek does as well. They need to get revenge against Ramsay Bolton.

My guess is Sansa survives and Theon dies, even if it's not immediately I think he will be seriously injured and decided to sacrifice himself for Sansa to escape.

Well, that's a good question. Martin very frequently makes allusions to other works of literature or cinema or music. This scene seemed to me to be very similar to the climactic wall-jumping scene in "The Spy Who Came In From The Cold" in which a man and a woman jump from the Berlin Wall.....

SPOILER ALERT

...and in that case, they die. Is this a hint? I dunno.

No, we are to assume they escaped.