Dinklage deservedly gets all the press, but Alfie Allen and the guy who plays Balon quietly delivered one of the best pieces of acting in the show so far last night (They were helped by amazing camerawork as well).
One thing the show has over the books is the ability to use the human face. Balon came off as a stupid prick who was terrible to his son and made stupid choices in the books. He's all of those things in the show, but that one shot where Theon yells about him abandoning his only son as Balon walks out made him more human than the books ever did.
You could see the shame on his face, and it made it clearer than the books ever could that he is the way he is not because he is stupid or because he doesn't love Theon, but because the shame of that defeat has become who he is.
I just rewatched the baptism scene, and it seemed to me that one could see on Theon's face how deeply he wanted, desperately, to belong.
It was sad and beautiful, but I'm sure I'm influenced by my knowledge of what's in store for Theon.