In no particular order:
1. The setting is interesting. The world in which the story takes place is a world of unpredictable seasons. The current summer has lasted nine years, and the last winter that anyone could remember was nearly as long. No one knows why the seasons are messed up; it's just been that way forever. There are also hints of magic, but not to the point where the story relies on magic to move forward.
2. The characters are interesting. According to the Game of Thrones wiki, the story (there are 5 books of the 7 book series complete so far) is told from the viewpoints of 31 main characters. They're introduced slowly and with great care, and they're all fully fleshed. They all have compelling backstories, and when one does something completely unexpected, it's still justified, based on what we know about him or her up to that point. Oh, and they're constantly doing the unexpected.
3. Graphic violence. Some people don't like this. I do. Think of the orcs in Tolkien's universe. We know they're bad, because they crack whips and burn things, and they carry big scary swords. The bad guys in George R R Martin's universe carry big scary swords too. They split their enemies from navel to spine, spilling their entrails into the dusty earth, and then take turns raping whoever or whatever survived.
4. The Imp. No other books (or TV shows) have The Imp.
5. The TV Version is the most faithful interpretation of a book to screen I think I've ever seen. In the book(s) each chapter ends in such a way to make you want to immediately start the next chapter. The TV show not only sticks to the story scene by scene, but once again, thankfully I picked up on it late, allowing me to watch marathon style instead of agonizing from week to week awaiting new episodes.
6. Surprises. No matter how you think each predicament will resolve, what actually happens is totally unexpected.
I suppose I should say a word or two about the writing style. The series (Song of Fire and Ice) was started in 1996, so the prose is modern, despite a setting involving knights, castles and such. The editing is clean and tight, and most of the backstory is revealed via dialog between characters. The majority of the narration is action oriented, so the story moves fast - it has to. There's a lot going on and it's complicated. But it's fun too.
And after all that hype, I'm going to just randomly stop here, because the Season 5 premiere of Breaking Bad is on in ten minutes. Breaking Bad is still the best thing to ever air on TV. But you gotta watch from the start or you won't get it.
My pants don't smell like sunshine anymore.