Well, what to say? I best start saying that I carefully avoided watching as much as a trailer before I saw the first episode, so I knew nothing about the cast and how close the storytelling would be to the book. Now that I've seen it I have to say they managed to make it closer to the books than I thought they would.
The plot follows the books closely (even down to single lines like "all dwarves are bastards in their fathers' eyes", which I think is a good thing because they're one of Asoiaf's major strengths), but avoids unnecessary elements while cleverly dramatizing things we got told by the narrator in the books. Ending the first episode with "the things I do for love" was a good idea imo, although the scene itself could've been done better. I personally dind't quite get the feeling Bran was in real danger, definitely not as much as in the book, which could be because it's told from his perspective there while the episode seems to be more from Jaime's perspective. That made the scene a bit lackluster for the climax of the episode.
The cast is really awesome for most characters, and though I've imagined nearly everyone different from how they look there, I can agree with both the look and the characterization presented so far. It was a good idea of the producers to increase the age of nearly all children - not only considering the TV friendliness of all the crap they'll go through, but for internal consistency as well (the children should've been as old in the books). The only character that really annoyed me was Jon Snow ... his voice and the accent felt out of place and made it somewhat difficult to sympathize with him ... which is bad because he's portrayed quite sympathetic in the books (maybe even too sympathetic, but there would've been other ways to compensate that). Minor qualms for the other Stark kids: Robb didn't get enough spotlight (I guess I wouldn't have understood he's the heir if I hadn't known it), so I little Jon/Robb contrast would've benefitted both characters. And I absolutely don't understand what made them turn Sansa from auburn to red-haired.
One last bit, the Daenerys scenes were just like the Daenerys chapters in the book - distracting from the main story. I'm also interested to see why they had her marry in Pentos and not in the Dothraki Sea. Drogo was a little too - it's been said above - camp for my tastes. On the other hand, I think Viserys was portrayed quite well ... he's not a macho type in the books, rather a weakling that can afford to be cruel because he gets pampered by Illyrio and his only target is a little girl.
Edit: oh, by the way, I think R+L=J is true and it would be really awful if GRRM retconned that away with the later books. It's so beautifully hinted at, with so many subtle clues coming together, that it would be shame losing it just because a tiny majority of die-hard fans figured it out in advance.