Agreed. Littlefinger is setting them up for something. I can see him arranging to have their party get ambushed only to be conveniently rescued by the Knights of the Vale, and thus allowing LF to gain a small amount of redemption so that he can proceed with his plan to (insert theory here)?
Also, was Bran still warged into Hodor while he was holding the door? If so, what is the impact on Bran of Hodor dying at that point? I've watched it twice and honestly don't know if he was still in him or not. Bran's eyes are still rolled back into his head leading me to believe he may still be inside Hodor.