Game of Thrones is my favorite book series by far, and so my hopes have been high since I first heard about this show long ago. I gotta say, it hasn't disappointed.
Like many other fans, I found Tyrion to be the most interesting character in the book; I'm glad that there was an actor with the chops of Peter Dinklage to pull off the part.
Arya was another favorite character of mine... it's hard to imagine a girl that young and that small involved in what's to come for her character. Of course, even in the book she seemed too young... but the reading mind matures the character in a way that will be hard to escape when you see her on the screen. I'm sure she'll grow quickly, and taking the long view, it's probably better that we don't have an Arya that looks like she's in her twenties at the end if the show is successful.
It's interesting that exiled Targaryens had some of the most compelling scenes in this first episode, since the first time I'd read the book I actually considered them a distraction in the early chapters.... I wanted to get back to what was going on in Winterfell.
And a big part of what made Winterfell interesting in the book was the direwolves, but they barely got any screentime in the first episode. I was confused by this at first, but after thinking about it, it made sense to me.. the wolves didn't really advance the story, and a lot of that character-building stuff had to be sacrificed.
I don't even remember seeing Rickon Stark, and there are still other key players in Winterfell that they haven't had time to "properly introduce" to the audiences yet. So much to tell, so little time. I bet there were a lot of scenes that were filmed and cut, and in the age of Internet, HBO should be throwing those scenes on youtube to connect with fans.
I've always said "watch the movie first, read the book later" when it comes to stuff like this, because otherwise it's hard not to be stung by what got altered or didn't make it to the screen, but thus far i'm very satisfied with what's made it to the screen.