I've only seen a few episodes, up to where Sansa's wolf gets put down, but I've read all the books. I gotta say I think in the episodes I watched they did a good job of casting. The guy playing Tyrion pulls him off perfectly.

I'm not so sure about Jon. The guy the cast for him seems a bit antithetical to who he is in my mind, but maybe he's gotten better.

What confuses me about the show is what they plan on doing once they catch up to G.R.R. which they will surely do. It'll be ~ a decade before the book series is finished, and they'll be caught up in 3 years.