I think we have to add a fith option. The Martells will secretly recognise Aegon and that Arrianne will use the fact that the Martells still nomially support Tommen to travel to the Reach in order to make a marriage alliance with the Wilas Tyrell or the Redwyne twins or a Hightower. From JonC's perspective she might be more valuable in that capacity. I like that or opton 4. I think this Darkstar guy will take the Black, Obara Sand the hardiest of the Sand Snakes will escort him to the Wall in part to see what Stannis is up to. I don't see the other 2 Sand Snakes staying out of trouble for very long in Kings Landing.
Darkstar on the Wall, now that would be something. He seems as a type to rather die than to be caught, but if he is Doran's spy as some speculate, I can see it.