McShane's casting is a bit of a coup, due to his role as the hard-drinking, hard-swearing Al Swearengen on three seasons of Deadwood. This propelled him into film roles including The Golden Compass, Pirates of the Caribbean: On Stranger Tides and Snow White and the Huntsman, as well as leading TV roles on series such as Pillars of the Earth and the short-lived Kings.
There are several roles coming up on Season 6 that McShane would be a good fit for. These are as follows, and be warned of SPOILERS from the books.
Euron Greyjoy is the younger brother of Balon Greyjoy, the proclaimed King of the Iron Islands, and the uncle of Yara and Theon Greyjoy. He is a black-hearted pirate who has sailed to the ends of the earth, reaving and despoiling everything in sight. In the books he returns to the Iron Islands to contend for his brother's crown, helped by fell sorcery found in the ruins of Valyria.
On the pro side, McShane can quite clearly play a badass pirate. On the negative side, Euron is a somewhat younger character in the books, as indeed is Balon. However, McShane is only two years older than Patrick Malahide (who plays Balon) and could pass for younger with some good make-up. He wouldn't perhaps be as physically imposing a warrior figure, which may be an issue if, as some fans speculate, Euron's role is being combined with that of Victarion Greyjoy. However, and crucially, Euron becomes a relatively major antagonist in A Feast for Crows whilst only having a modest amount of screen time. This could match McShane's rumoured role in the series.
Lord Randyll Tarly of Horn Hill is Samwell Tarly's father, a humourless, ruthless soldier. His battlefield skills are legendary (he is accounted the finest general in the Seven Kingdoms) and he is sworn to House Tyrell.
This may be a more likely prospect, as we know that Randyll is being cast for Season 6 and the age is less of an issue. However, Randyll is also said to play a big role in the events of Season 6, suggesting he is very active in Sam's storyline, which doesn't fit the suggestion of a smaller role. More importantly, and unlike Euron, Randyll hasn't actually done anything crucial to the overall storyline yet. It is possible that this will be changed for the series.
Meribald is a world-weary ex-soldier who is now a septon, wandering the Riverlands giving succor and spiritual guidance to the poor and to refugees from the War of the Five Kings.
We know that Meribald - or a very similar character - is being cast for Season 6 and it'd be good to see McShane playing a more nuanced character. It is also quite a small role. However, Meribald's only major plot contribution (so far) is related to the "Gravedigger" storyline, which it seems is less likely to be depicted on the TV show, and even with that taken into account it seems unlikely that they would go for such a (relatively) well-known actor for such a small role.
Howland Reed is the father of Jojen and Meera Reed and was also Eddard Stark's closest friend and confidante, as well as being his constant companion during the War of the Five Kings.
Howland Reed has not appeared yet in the books, but according to Martin will appear at some point. Reed is also a keeper of secrets, the only confirmed living person who knows what the hell happened at the Tower of Joy and may know more about Jon Snow's parentage. According to Martin, Howland is one of those characters (alongside Varys and Littlefinger) who will never be a POV character, as knowing his thoughts would spoil a lot of things ahead of time.
On this basis, Howland could be a possibility, although it would make him twenty years older than Eddard rather than the close compatriots in age suggested by the books. It's also likely that the Tower of Joy sequence is being filmed for Season 6 as the show's second flashback sequence. However, if this is true it will likely involve the younger Eddard and his companions, and not an actor of McShane's age. However, for a present-day Howland, McShane would certainly be possible.
The Mad King, Aerys II Targaryen
This is very much an outside shot, but it is possible that the promised flashbacks (or possible visions courtesy of a returning Bran) will also encompass events in King's Landing during or before the Rebellion and will feature the Mad King. This would fit McShane's casting to a T, with it being a hugely important role but also one that would naturally be very limited in appearance. With no evidence of there being any Mad King flashbacks, treat this as very much an outside bet.