I thought this scene was one of the best in the first episode of the last season.
For one thing Gendry made an ax made of dragon stone for the Hound. Pretty sick.
But then the Hound and Arya reunite. Their interaction was brief. Arya telling the hound to stop picking on Gendry and the Hound giving Arya the most affection he can absolutely give.
"You're a cold little $#@! aren't you? Probably why you're still alive."
Coming from the Hound the acknowledgment of survival is his greatest compliment. The Hound does not believe that those not worthy of survival are those he should respect.
Telling Arya that she is a "cold little $#@!" and that's why she is alive is his way of saying he has the utmost respect for her given only the cold and non-merciful could survive in the world in which they live. He is probably right and thereby giving Arya the greatest compliment he could give.
@Ethereal Where are you at my brother?