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They are climbing the wall to make an attack on Castle Black from the south while Mance Rayder sieges the wall from the north. The gate isn't impenetrable. However, Mance can't sustain the hurt that could be put out from on top of the wall while trying to break through, so he needs the brothers of the Night's Watch to be distracted fighting an enemy on the wrong side of the wall.
People forget that "Castle Black" is a castle only in name, just like the rest of the keeps built along the wall. They have no defense from an attack coming from the south.
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