Well, if Jon really is Rhaegar and Lyanna's son, he has a claim to the Iron Throne. Not to mention the fact that he should be the king in the north, if/when Robb's will shows up. Some people think he might be one head of "the three headed dragon", especially if he really is a Targaryen. Some people have even wondered if he's Azor Ahai.
I dunno if any of that will happen, but imagine if they did and John was a wight, like Coldhands. =O A wight trying to claim the Iron Throne. Or riding a dragon.
Man, I kind of hope that happens now. I'm definitely keen to the theory that Coldhands is a warg-wight. We know that at the very least wargs can live on in their animals -- so in all likelihood if Jon really was killed there would be part of him in Ghost. If his body then became a wight, he could potentially warg back in. Imagine the Watch's surprise if his dead body stands up, and begins talking to them, completely cognizant.