Is this common knowledge?
"Yes, Robb was a warg, although perhaps not as powerful as his siblings. GRRM has said that all six kids are wargs. When Robb dies, he says his wolf's name, suggesting, based on Varamyr's ADWD prologue, that he entered Grey Wind when he died (and he may have died twice, once as Grey Wind and once as Robb).
If you want in-story evidence, look at the goat path that Robb somehow discovered that let him make progress in the Westerlands without the Lannisters knowing. The theory is that Grey Wind discovered the path and Robb saw that it was there in a wolf dream (and if I recall in the books, the wolf does get credit)."
I feel bad for not "getting" so many finer details in the books