Background

Since GRRM has mentioned the importance of characters in the AGOT, Appendix, one thing I thought would be fun to dive into is the "disappearance" of Ser Willis Wode. Ser Willis Wode is a landed knight from House Wode, who along with his unnamed brother are sworn to House Whent of Harrenhal.

• House Wode Motto = "Touch Me Not"
• House Wode Arms = Three White Hedgehogs on Yellow

First to Declare for House Tully/Cat at the Inn

Ser Willis was the first to rise for Catelyn:

"We must have some rest, my lady," the hedge knight Ser Willis Wode was saying to Catelyn Stark as Tyrion approached. He was Lady Whent's man, stiff-necked and stolid, and the first to rise to aid Catelyn Stark back at the inn.

"Ser Willis speaks truly, my lady," Ser Rodrik said. "This is the third horse we have lost—" -AGoT, Tyrion IV

and then he joins the party en route to the Vale:

"Pretend you're splitting logs," Bronn said, drawing his longsword from the scabbard across his back. He spat, and trotted off to form up beside Chiggen and Ser Rodrik. Ser Willis mounted up to join them, fumbling with his helmet, a metal pot with a thin slit for his eyes and a long black silk plume.

fighting off the mountain clans:

Ser Rodrik shouted "Winterfell!" and rode to meet him, with Bronn and Chiggen beside him, screaming some wordless battle cry. Ser Willis Wode followed, swinging a spiked morningstar around his head. "Harrenhal! Harrenhal!" he sang. Tyrion felt a sudden urge to leap up, brandish his axe, and boom out, "Casterly Rock!" but the insanity passed quickly and he crouched down lower.

and seems to display at least some bravery:

Ser Willis Wode led them out. Bronn took the rear, with Lady Stark safely in the middle, Ser Rodrik a shadow beside her. Marillion kept throwing sullen looks back at Tyrion as they rode. The singer had broken several ribs, his woodharp, and all four fingers on his playing hand, yet the day had not been an utter loss to him; somewhere he had acquired a magnificent shadowskin cloak, thick black fur slashed by stripes of white. He huddled beneath its folds silently, and for once had nothing to say. -AGOT, Tyrion IV

and is the only Riverman to survive the trip:

"We should be honored to have them to guest," Ser Donnel said with the grave courtesy of the young. Beside Ser Rodrik, only Bronn, Ser Willis Wode, and Marillion the singer remained of the party that had ridden with her from the inn by the crossroads. -AGOT, Catelyn VI

he then remains with Ser Rodrik:

Ser Willis Wode remained with Ser Rodrik, a soft-spoken septon fussing over their wounds. Their horses were left behind as well, poor ragged things. Ser Donnel promised to send birds ahead to the Eyrie and the Gates of the Moon with the word of their coming. -AGOT, Catelyn VI

and:

Among the lords of the Vale were several of his companions from the high road; Ser Rodrik Cassel, pale from half-healed wounds, stood with Ser Willis Wode beside him. Marillion the singer had found a new woodharp. Tyrion smiled; whatever happened here tonight, he did not wish it to happen in secret, and there was no one like a singer for spreading a story near and far. -AGOT, Tyrion V

but is present for Tyrion's trial by combat:

A storm of sudden laughter filled the High Hall of the Arryns. Lord Nestor Royce snorted, Ser Willis chuckled, Ser Lyn Corbray guffawed, and others threw back their heads and howled until tears ran down their faces. Marillion clumsily plucked a gay note on his new woodharp with the fingers of his broken hand. Even the wind seemed to whistle with derision as it came skirling through the Moon Door. -AGOT, Tyrion V

and then HE ISN'T MENTIONED AGAIN.

House Wode in AFFC

Which as I mentioned before with him being in the AGoT Appendix, is already a bit odd that he isn't mentioned anymore (although you could argue his role was to get Cat to the Vale), but then GRRM seemingly offhandedly brings him up again in a Jaime chapter in AFFC as he passes the Wode lands:

The next day, the column crossed the stream that formed the boundary between the lands that did fealty to King's Landing and those beholden to Riverrun. Maester Gulian consulted a map and announced that these hills were held by the brothers Wode, a pair of landed knights sworn to Harrenhal . . . but their halls had been earth and timber, and only blackened beams remained of them.

No Wodes appeared, nor any of their smallfolk, though some outlaws had taken shelter in the root cellar beneath the second brother's keep. One of them wore the ruins of a crimson cloak, but Jaime hanged him with the rest. It felt good. This was justice. Make a habit of it, Lannister, and one day men might call you Goldenhand after all. Goldenhand the Just. -AFFC, Jaime III

Three Little Pigs Reference?

The Wodes' halls may be a reference by George R. R. Martin to the story Three Little Pigs. The earth and timber halls of the Wodes are burned down by raiders, but the stout stone of Sow's Horn, seat of House Hogg, resists Amory Lorch:

At a place called Sow's Horn they found a tough old knight named Ser Roger Hogg squatting stubbornly in his towerhouse with six men-at-arms, four crossbowmen, and a score of peasants. Ser Roger was as big and bristly as his name and Ser Kennos suggested that he might be some lost Crakehall, since their sigil was a brindled boar. Strongboar seemed to believe it and spent an earnest hour questioning Ser Roger about his ancestors

Jaime was more interested in what Hogg had to say of wolves. “We had some trouble with a band of them white star wolves,” the old knight told him. “They come round sniffing after you, my lord, but we saw them off, and buried three down by the turnips. Before them there was a pack of bloody lions, begging your pardon. The one who led them had a manticore on his shield.”

“Ser Amory Lorch,” Jaime offered. “My lord father commanded him to harry the riverlands.”

“Which we’re no part of,” Ser Roger Hogg said stoutly. “My fealty’s owed to House Hayford, and Lady Ermesande bends her little knee at King’s Landing, or will when she’s old enough to walk. I told him that, but this Lorch wasn’t much for listening. He slaughtered half my sheep and three good milk goats, and tried to roast me in my tower. My walls are solid stone and eight feet thick, though, so after his fire burned out he rode off bored. The wolves come later, the ones on four legs.

If interested: The (Strong)Boar & the "Hound"

Where is Ser Willis?

Still in the Vale

I think the most exciting answer would be that he has remained in the Vale and could somehow support Sansa (somehow recognizing Cat's daughter after being with her recently). I believe I have seen it theorized that he could be Ser Morgarth the Merry, but having recently been in the Vale, I feel other characters would recognize his true identity.

If interested: The Tourney of the Brotherhood of the Winged Knights & Characters Who Know Alayne's Identity

Riverland Outlaw

As with anyone who has dealt with the travesties that were inflicted on the Riverlands, you have to at least consider them as a supporter of the Brotherhood without Banners if he returned to his lands with Cat/BFish (unmentioned/forgotten by GRRM) and saw what happened (especially if his brother is dead).

If interested: Friends, Agents and Infiltrators of the Brotherhood without Banners

GRRM is Done with Him

It is very possible that his role was strictly to help get Cat to the Vale and he won't be mentioned again.

Other Options/Thoughts

• I looked for his plume, porcupines (besides House Blount), yellow, morningstars and really didn't find much outside of the weakest of ties
• Worth noting that the passes to the Vale are heavy with snow, full of shadowcats and armored clansmen (if interested: The Vale Mountain Clans in TWoW) and if he tried to travel alone he may have died

TLDR: Just a quick post on the whereabouts of Ser Willis Wode, who supports Cat in taking Tyrion prisoner and then survives the High Road to the Vale and isn't mentioned again after Tyrion's trial. GRRM mentions the Wode lands in AFFC when Jaime travels through them and how they were burned by Ser Armory Lorch. There are quite a few possibilities on his whereaboats ranging from in the Vale (and able to support Sansa) to returning to the war torn Riverlands, to GRRM being done with his character.