They're looking for missing Rangers and scouting what's going on with the wildlings.
Mance Rayder (former Ranger) has rallied the wildings and "others" and is marching on the wall.
Jon didn't choose to be a steward. It was decided for him and he was told when he completed his training.
The "taken over" bit doesn't really get explained in the books, in the sense of why and how. But think zombies. (I'm a little over half-way thru the latest book.)