Did Theon not escape with Jayne?
He does, but that's way later from where the show is now.
I always wondered why everyone says Joff is the nastiest little shit in GoT when Ramsay is clearly worse.
Well, timing mostly.
Joffrey appears right out of the gate and shortly after, we see what a little prick he is. He murderers the lead POV character, abuses another POV character, and continues to act like an incredibly entitled shit doing vicious things. He's easy and visible right from the start as the guy you can 100% hate and throw your darts at in this world of moral ambiguity.
Ramsay is much more of a long game. He first appeared in A Clash of Kings, but he's mostly Reek until the end. He didn't get introduced as the most sadistic motherfucker in Westeros until 2011 and most of his terrible things come to a POV character that we last saw murdering children. It's a real testament to his viciousness then that almost everyone actually gained sympathy for Theon, despite his past actions, just because of how bad Ramsay was. If he had been in AGoT and done this to a Stark? He'd be more hated than Joffrey.
BTW did anyone else appreciate the nod in the ep to the "Meereenese Knot" that gave GRRM so much trouble pre-ADwD?