Because of time constraints (except late reviews for Monday's shows) and a serious lack of sleep, I won't spend too much time with the premiere of Game of Thrones, but there isn't much to say yet anyway. This is an introductory episode, after all.
From the first episode alone, the mythology is deep and there are a lot of characters to keep track of. So far, we know that there was a war to win the throne and the son of the loser is preparing to take over by using his sister to gain an army. There is quite a bit of sexual politics and just sex itself, resulting in the episode's cliffhanger, Bran taking a big fall. Meanwhile, there is a Wall to the north, protecting everyone from these creatures which seem to be only myths. But as the harrowing opening shows, they're definitely real and ready to kill.
Aside from the first few minutes of the episode, "Winter Is Coming" didn't blow my socks off, nor was it intended it to. The episode sets up the characters, the major conflicts, and some backstory governing these aspects. In HBO fashion, these elements from unravel and combine as the season progresses, but we'll have to wait.
Score: 8.9/10
Just a note, I have not read the book which the show is based on, but I probably will after the season finished (unless I really want to know what happens next).