Yeah, book Coldhands != Benjen. TV Coldhands = Benjen because...eh, why not? Benjen might still return in the books, or they might find a wight version of him that would reveal what happened to him, but he might just be...gone. Never found because screw you, that's why.
Also, recently saw someone else mention this, but it might fit.
Rickon's direwolf is named....shaggydog. So, you may not want to count on book Rickon's story going anywhere.
What I think the series has done well, and is continuing to do well, is to condense otherwise disparate plotlines which, while interesting in the books, ultimately either don't NEED to be separate or don't appear to NEED to be elaborated upon. E.G., condensing Gendry and Edric Storm into a single character on the show. I mean, yeah, it's intersting that Robert "made the 8" and sired bastards all across the realm, but for purposes of the show, do we really need to get into it in this level of detail? Do we need another character to drop in and appear?
Characters in the books often can appear because they either flesh out the locale where they are, providing flavor and/or connections to the region, and also because they make the world feel expansive rather than like Lucas' Six Degrees of Star Wars fishbowl universe. But on the show...eh...there's enough characters as it is.
Also, some of the more fantastical characters like Coldhands and Stoneheart don't quite fit the show. Stoneheart might still show up, but it makes more sense to have her appear now as magic is beginning to thrive again in the world, than to have had her appear where she did in the book, considering she then just...vanishes for almost two whole books because none of the POV characters encounter her.