Question: We could see that Theon Greyjoy helped Sansa Stark escape from Winterfell which was under Ramsay's control by jumping off the wall. The outer wall is said to be about 80 feet high. How did both of them survive jumping from that height? It is highly unlikely to survive that jump even if there was snow.

Answer: 
Covered at this Physics.SE question: <https://physics.stackexchange.com/questions/167077/freefall-into-snow>

Yes: You can do it.

No: It won't kill you.

It does however depend on factors such as how much snow there is, is it powder or compacted, whether the landing is steep or flat. Falls of 100 feet or more are noted in comments.
If the snow's deep enough, they could easily survive a fall of 80 feet, regardless of plot armor. 

[This video](https://www.youtube.com/embed/-RYkapHBVs8) shows a guy skiing away from a jump off a 255 foot cliff. He lands head first.