My biggest complaint is that the writers are cutting out so much of what made the books a masterpiece, yet they find room to add scenes like Renly+Loras that, at best, were only slightly hinted at and have no bearing on the story. Some added scenes are fine because they take the place of narrative portions of the book that supply vital information, but this was not one of them.
The casting is spot-on perfect in some cases (Tyrion, Arya, Robert, Littlefinger, Varys, Viserys, Barristan, Bran, Daenerys), but others are nothing like what I expected (Renly, Catelyn, Lysa).
Renly is supposed to be the spitting-image of Robert when he was in his prime. Not even close...
Sean Bean is a fine actor, but Ned and Cat both look a lot older and worn out than I imagined them to be. Still, their fine acting has allowed me to accept them in the roles.
Gendry looks a lot older than 17-18. Lysa is supposed to be a pale and bloated former beauty. Gregor (The Mountain) is not nearly as massive as I expected. I imagined someone like Andre the Giant (7'4" 500 lbs). EDIT: I just checked IMDB, and this actor is 7'1", so he is big, but the camera isn't really showing that so far.
The Hound looks right, but hardly seems as mean, scary, and menacing as he is in the books. It is only much later when he reveals a softer side.
I agree with those who say Yoren is too clean. The actor playing Benjen Stark looks more like the Yoren I imagined.
Jon, Robb, Theon, and the rest of the cast are close enough that I can accept them in their roles.
I will continue to watch the show because I love seeing these characters come to life. But it kills me to see the writers butcher GRRM's brilliant work of literary art.