Inside the House of the Undying, Dany is given numerous prophesies, one of which involving:
"There must be one more," and "The dragon has three heads."
Okay, so who do you think are the three heads of the Dragon?
The first one is obviously Dany herself. I don't think anyone can argue that.
I believe the second is Jon Snow. He's the blood of the Dragon if you believe the Rhaegar + Lyanna theory of his parentage (which I do), and this is largely why I think his apparent death at the end of Dance with Dragons is either not actual death of only temporary.
So that leaves number three. Who could it be?
An obvious answer is our young Aegon, but it doesn't feel right to me. Kind of like Quentyn Martel thinking he was one of them... it seems too neat.
I have a friend who insists that it's somehow Tyrion, but I don't buy that.
I've had a sneaking suspicion that it might be Gendry, as the Baratheons did have an infusion of Targ blood a couple generations ago.
Then there's the Three-Eyed-Crow, assuming he is Bloodraven, which seems pretty solid. But, as ktom pointed out, he's really just a tree at this point. While ktom doesn't seen a skinchanger being one of the three heads, I am less certain.