Here is the card:

Theon Greyjoy

Type: Character House: Greyjoy
Cost: 3 Strength: 3 Icons: Military, Power
Game Text:
Lord. Ward.
If you are playing a House Stark House card, reduce the gold penalty to play Theon Greyjoy by 1. Response: After you win a challenge in which Theon Greyjoy participated, choose a House Stark or House Greyjoy character. If it is Summer, stand that character. If it is Winter, kill that character.
Crest: War
Number: 48 Set: A Change of Seasons (ACoS)
Quantity: 1 Illustrator: Cris Griffin

Does this mean, if I am not playing a GJ or Stark player, I have to kill one of my GJ chars? Or is it assumed his text is directed at opponents only?

Yes you would have to kill your own character, but since its a Response, you choose if you want to do it or not

To be clear: You are never required to trigger any "Response" action like Theon's. So while you must read his ability as letting you choose and Stark or Greyjoy character, regardless of who controls it, if the only Stark or Greyjoy characters available are yours (like, say, Theon himself), you are under no obligation to activate his effect after you win a challenge if it is not in your best interest.

Thanks for the responses. It seems like this character is much more playable now.