The Citadel: Prophecies

I: 614 - Rickon’s Dream

"You let my father be," Rickon warned Luwin. "You let him be."
"Rickon," Bran said softly. "Father's not here."
"Yes he is. I saw him." Tears glistened on Rickon's face. "I saw him, last night."
"In your dreams . . . ?"
Rickon nodded. "You leave him be. You leave him be. He's coming home now, like he promised. He's coming home."

This does seem to confirm that at least some of the Starks with direwolves have prophetic dreams to one degree or another. Rickon, like Bran, has spoken with the shade of Eddard Stark.