So at least for now, my hunch about Snow's immortality is not confirmed. It appears that Ser Davos was saying, "Tell him what you did to 'er", referencing Princess Shireen being burned, not "Tell him what you did to him," as I thought I heard in the previews.
But watching that battle scene again, it's hard not to determine that there was something supernatural at work keeping Snow alive. Whether Melisandre's dark witchcraft, the "Lord of Light", other deities, or just fate, they made a point to make it obvious that Snow was dodging certain death more times than could be accounted for by coincidence or being a badass fighter.
Now that we know for sure that Jon is half brother to Danerys, the "Fire and Ice" plot line is beginning to hone to some kind of point.
That season ender was EPIC. Perhaps the best episode of the series so far.