Did you read how they got there? People have been speculating on Jon's parentage since the scene where he and Ned parted; the first theory was Jon being Aerys & Lyanna's kid, followed by Robert & Lyanna, then being Benjen's bastard son, then Robert & Cersei's missing heir, then the product of Ned & Cersei's illicit affair. I remember a lot of them from the BSG discussions - these people know how to watch.
Rhaegar & Lyanna didn't come up until the end of S1, when it was revealed that Rhaegar kidnapping Lyanna was what instigated the rebellion; it's really not that hard to come up with that theory at that point.
Edited by Independent George, 12 December 2012 - 04:54 PM.