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Empire Online first reported the news, claiming Neil had been asked back to direct the finale. Their "source close to the production" also hinted that the episode will also take place "at the Wall, with Mance Rayder."
UPDATE 7/10: However, Variety reports that Neil has actually been asked back for Season 4, Episode 9, which, based on the pattern of the show and what we know from the books, makes more sense.
Warning: The rest of this article contains spoilers from the A Song of Ice and Fire book series. Click away now if you don't want to know!
If the "at the Wall" section of Empire's report is correct, everyone's guess is that Episode 9 will center on the Battle of Castle Black, in which Mance's forces attack the Wall, and the Night's Watch is more or less saved entirely by Stannis' timely arrival. It would make sense for this fight to be the climax of the season, and we can't wait to see what Neil Marshall comes up with this time.