I read the first book, and I going through the second one currently. The books are always better, but the show was a decent depiction. I'd be more satisfied if they were using direwolves in the show more, but I guess it's harder to work with dogs, even when they are trained, on top of everything else they had to do or make for the show.
The flow of the narrative is fast, and I like that. Also I appreciate the wealth of characters, the symbolism, and the ruthlessness Martin shows to his characters. Just when you get to know one of them better, off with his/hers head he goes.
Edit: the thing that seriously irked me when it comes to the show was that they didn't bother to change the natural colour of eyebrows of two actresses and one actor, who's hair is to be very blond in the show, while their natural colour was deep brown. I couldn't believe that none of the ladies involved in making the show didn't bother to point this up and correct it.