When They Were Last Together: The Kingsroad (S1E2)
What Happened Then: Jon gifted Arya with Needle, the sword she still has, and the two - who were the closest of all the Starks - said a heartfelt goodbye as Jon went to the Wall and Arya went to King's Landing.
What Happens Now: They still deeply care for each other, although Arya is supporting Sansa, which could cause some consternation between them.