Arya of House Stark is quite possibly the best character in the whole series...if you haven't read the books I won't ruin it for you but I'll say this- her journey is rough, far-flung and as far as coming-of-age tales go, the most awesome I've read in a long, long time. The actress who plays her is spot-on, as are a lot of the choices for casting made (I love who they cast for Cersei, oo la la); Syrio Forel is supposed to be bald but beyond that, a great job in casting as well.
Jon Snow's journey isn't as exciting depending on your POV...the last bit I read on him has me itching for the next book, though.