I enjoyed how dark the story is. We're so used to the "good guys always win" that, for me, it was refreshing to see plot lines that danced within the shades of gray instead of the black and white of most fantasy stories. Also, no magic = bonus, IMO. My only complaint is that the books have taken a very long time to get the story to where it is. I feel like this epic climax is on the horizon, but I have no idea whether or not that is going to be 1 or 4 books into the future. I'm figuring Martin is going to kick before he wraps everything up, if he keeps this pace going.
Last, and I'm putting the flame proof jacket on for this, there is entirely too much nudity and sex. The books included the somewhat "rated R" type content, but did it in ways that weren't gratuitous. Those scenes in the book felt necessary. Some of the sex and boobs HBO is showing simply detract from the story. The story is very powerful and complex, but surely HBO intended it for more than the teenage boys of the world. The nudity might keep others away--kind of like back in the day when you heard a great song on an album, but knew it would never get airplay because of all the f-bombs. Anyway, I'm 37 and I don't need any of that to stay interested.