I think Littlefinger wants as much power as he can get. I'm sure he wants to take out Cersei, and I'm fine with that...as long as someone else comes along and takes him out.That would leave him, with his prior marriage, in basic control of the North, so that would make sense.
The issue is...Stannis. So, does Littlefinger want to be king? Or just Lord of the North?
Also, I agree, Theon is gonna snap here soon...