I watched seasons 1 & 2 before starting to read the books. I just finished book 3 before the season started, so it will be interesting to see the show for the first time knowing where the plot lines are going. I thought they did a pretty good job in the first episode, but some details in the book were changed or lost in the show.
For instance, the reason Jon Snow gave for wanting to join the Wildlings, I thought, was much more convincing in the book than in the show, and I'm not sure why they felt they needed to change it. I also thought the scene with Dany and the slave trader was well done, but was more interesting in the book since we knew Dany understood his language and what he was saying, but didn't let them know that.
Also, the scene where Ser Barristan reveals himself was more powerful in the book, but it's pretty clear that they couldn't have done the same in the show. For those who didn't read the books, it occurs later in the timeline.
And what, no Strong Belwas?