I greatly enjoyed this first episode. It was very true to the source material with only understandable editing to accommodate the requisite runtime and the worst of the taboo sexual content. This is good -- I'm very glad the writers have chosen not to pervert the source material by making unnecessary changes which happens all to often with adaptions. I'm glad this is showing on HBO -- that'll go a long way toward giving the writers/producers the freedom needed to be true to the source -- especially the dark and adult tone of the series (and I don't mean the sexual content). This ain't "The Hobbit".
The casting was pretty good -- with some outstanding early performances (Tyrion and Danerys especially). With the exception of poor characterization of Robb, Theon and Jon (those three are nearly indistinguishable in this episode -- easy enough to understand with their limited screen time) and Cersei to a degree, all the characters were brought to life very well, especially for a first episode.