I don't think that Melisandre bringing Jon back would insult the reader's intelligence. That a Red Priest has the skills to bring someone back from the dead is already part of the canon, as we've seen with Beric Dondarrion and Catelyn, so what's one more walking, talking zombie!
When I read about Jon's stabbing, I was shocked but, to be honest, I never once felt that this was the last we would see of him. Between the storylines about warging and Melisandre's hints about Jon being in danger, I felt it was highly likely that he was going to be saved somehow. Basically, I will be completely shocked if Jon stays dead.
I feel the biggest puzzle with Jon is why he suddenly decided to go off to Winterfell. That decision just felt all wrong and out of character to me.
EDIT: I see The Imp has beat me to it with the point about Beric.