Whatever Benjen Stark Is (Basically an Early-Stage White Walker)
What to wear: Something similar to what the rest of the Night's Watch Crows would wear (boots, pants, a long-sleeved shirt, and a very furry coat, all in black), only covered in flecks of fake snow. Add in a scraggly brown wig, and some gray and blue face paint to make it look like you're a touch hypothermic.
How to act: Extremely mysterious, and silent (for the most part). You should also shiver every now and then.