just saw game of thrones on dvd, wow, it's amazing, like really brilliant. what an incredible story. i've seen the books around but have never read them as i am not that much of a fantasy reader. george r r martin has written an epic that redefines all the rules, it's transposed by hbo onto the small screen and they have done a great job in series one. 
the characters are so rich and complex, their narratives unpredictable and often shocking and it's a tale told from multiple viewpoints. i watched the story riveted to the screen as the political intricacies weaved their way to their conclusions. if you have $30 hanging around, go out and buy a copy, it's worth it. 
i think the best way to watch it is after each episode read the chapters that match them, this way you get the complete richness of the novel plus the magnificent way it has crossed the printed medium to the screen.