I liked the gradual introduction into the super natural that the game of thrones show as well as the SOIAF books does. They start you off completely normal and wheedle little bits of supernatural in, until your staring a dragon in the face and looking up a giant's loincloth.
I personally LOVE the books, and the first 4 seasons of the show,
I'm not sure if anyone else has heard Roy Dotrice read the audiobooks, but if you have not, your depriving yourself of a master at his craft.
-------------------------------
Also If you have not checked out the Dunk and Egg series, which takes place roughly 70(?) years before GOT and SOIAF, It's worth looking into.
-----------------------------
Favorite characters ? I'm glad you asked!
Davos Seaworth
Petyr Baelish
Tyrion lanister
Tormund Giantsbane
annnnndddd
Vaerys