So, I'm sat here twiddling my thumbs whilst I wait for my core set to arrive, and I thought I'd start thinking about how to expand once it gets here.

As I understand it, if a Card has a family crest in the Corner it belongs to that Deck -i.e. Ser Jaime Lannister, Lannister deck. What happens though, with the characters who have blank shields? For example in the print-and-play demo decks, the Lannister deck has Littlefinger - does the blank shield mean that he can be used in any deck?

If this is the case (blanks go anywhere), do people include blanks in their decks based on the plots of novels, and who seems a likely ally? or is it just about what balances out the deck to make it good for play?

Yep, neutrals (or "blanks", as you refer to them) can go into any house. Some will use them thematically, but competitive decks will use them with whatever creates the best synergy with the rest of the deck.

I think it's also important to note that you can use characters from another house, though at a 2 gold penalty. (The exception is cards that specifically say "house x only")

This will be especially significant now that there is a neutral house card which reduces the penalty by 1 gold.