That was my speculation and I promise you, I am not a book reader and wasn't spoiled. I mean feck, it was revealed they were going up north to the wall last episode of S3. Surprised they turned up that quickly though, I was expecting it Helms Deep style.
I was wrong, yep, forgot about the Mellisandre's vision in the fire, sorry - it was a good guess, kudos.
Still, one moment he is in Braavos, asking for money and the next moment he is riding on the North, what the heck? Of course they wanted to keep the element of surprise, but how did he managed to teleport his army half across the world?