I'm a big fan of the books, so of course I watched the HBO show when it aired last spring. The characters and locations are very true to the book. I honestly got goosebumps the moment The Wall made its first appearance on screen.
Overall, the best-portrayed characters are Robert, Tyrion, Varys, Arya, Joffrey and Jorah Mormont. That isn't to say the others are bad, but those ones most closely match my mental image of their characters from the book. They still did a fantastic job bringing Martin's universe to life. Even the minor supporting characters like the Hound, Ser Ilyn and Pycelle are excellent in their limited roles.
The big event towards the end of the novel was done even better than I could have hoped for. There's one minor addition that the show's producers included that makes the event so much more emotional and makes the impact of that event more personal.
Season 2 airs in April, and I'm really looking forward to it!