Theon is a fool, and he's easily manipulated and tricked and he lacks judgement.
But what was the point of that?
The guy who tricked Theon helped him escacpe, harpooned 4 guys chasing after Theon, gains his trust (oh so easily) and then leads him right back into the same dungeon on some sort of double cross.
The only thing I can think of is that he wanted to get Theon to talk.
For that matter, I'm a little confused as to exactly which faction has Theon imprisoned in the Dungeon and why? Why not just cap him and be done with him?
For all that watch the show, I would have to recommend that the books be read first. They are amazing! If you have the ability to imagine, George R.R. Martin can paint a picture and tell a story. The show just can't touch the depth of the story told in the books. The actors are unable to match the characters. Anyways, the books are that good.