This is a summary, rather than a quote from the book.

Theon dreams of the feast Ned Stark had thrown when King Robert came to Winterfell, but after a while he realizes that everyone attending the feast (Robert, Eddard, Jory and so on) are dead. He also sees Lyanna, Brandon and Lord Rickard. And then the tall doors open with a crash, and in walks Robb and Grey Wind, both bleeding from a hundred savage wounds.

Fairly straightforward for the most part, Theon's dream can be explained away as simply being due to his feelings of guilt and fear concerning his violent betrayal of the Starks and his future prospects. However, at the end, Theon sees Robb and Grey Wind as terribly wounded, and probably the latest members of the feast of the dead. This could be mere coincidence, but it may be that Theon's dream really did foretell the deaths.