Game of Thrones is the most ambitious television I've ever seen. It's constructing a world. Where fantasy films have to end somewhere around the three-hour mark, this can go on for (hopefully) years. It gives the context in bits so it's not overwhelming, building up like the chapters of a book (or maybe just the book it's based on). We know that there's scary wild things behind The Wall, but nobody really believes it; we know that there used to be dragons; and we know that there's a network of dead kings and girlfriends that everyone's upset about. It's traditional fantasy stuff, but it seems like a fresh commitment to putting literature on screen. Like somebody put Lord of the Rings into episodes. If it lives up to it's promise it could become monumental. This is what HBO have decided to do now that everyone else is starting to catch up, they're taking things up a notch. Enough of this real-world business, start a new land from scratch and you might get true escapism.
And here you know who the evil people are. They kill dogs. That's really evil. Cute dogs that never did any harm apart from mauling their master's enemies. The butcher's boy got killed as well but nobody cares so much about that. Nobody's supposed to kill the direwolves. They even make Sean Bean a bit soft. There's another bad sort who sold his sister to a horse-tribe. You can tell he wants to kill dogs too. The bad news for all of them is that 'winter is coming'. Seasons last for years in this place, and it's been summer for a while. Ominous.
Edit: I just found this staggeringly good post that includes diagrams of the houses, relationships and maps. It will make your nerdy mind do a little dance.