The astrolabe sun in the opening tells parts of the backstory using animals to stand in for the houses. The dragon (Targaryen) takes over and rules Westeros, then proceeds to go nuts, so the stag (Baratheon), lion (Lannister) and direwolf (Stark) slay it; the stag now wears a crown and the wolf and lion bow to it. This is a metaphor for the fall of the Targaryens 17 years before the show starts.
Harrenhal's model does not move, which is appropriate for the model of a ruined castle. However, the model includes moving parts that do not work, so it's a broken model of a ruined castle.
Jaqen H'ghar's first appearance is hidden in a cloak, with his face not visible. This was done because the actor wasn't cast yet, but it's also a reference to his true identity as a Faceless Man.
In "You Win Or You Die," Cersei orders Ned to kneel before her near the end of the episode. Of course, Ned won't because his honor prevents it, but furthermore, his leg wound means he physically can't and Cersei probably realizes this.
The show's use of 'sexposition', which is exposition via sex scenes. Seeing as how everyone seems to talk their heads off during sex, is it any surprise that Littlefinger, who runs the brothels in King's Landing, is also a bit of a Knowledge Broker?
The first scene with Jaime and Cersei in episode 1. Viewers will infer that the Lannisters were behind Jon Arryn's murder. From the books...
In A Storm of Swords, it's revealed that they weren't.
If you listen to their conversation, it's obvious they weren't the perpetrators - they were worried because they had no idea how much Jon Arryn knew, and what his actions were before his death! Before they had the chance to interrogate (and murder) Arryn, someone else had taken him out.
Robert Baratheon mentions that he favoured wielding a warhammer in battle. It is perhaps no coincidence that his bastard son Gendry is first seen wielding the hammer of a blacksmith. In "What Is Dead, May Never Die", Gendry is seen wielding a hammer when fighting the Lannisters.
In episode 6 "A Golden Crown," Ser Jorah Mormont stops Viserys from taking the eggs, says, "And yet here I stand." He's not just being badass - he's paraphrasing his house words ("Here We Stand").
Ned discovers a direwolf and a stag Mutual Kill. Stags and Direwolves are the signs of Houses Baratheon and Stark. Sure enough, Ned and Robert's actions lead to their deaths within the season. Later, Tywin Lannister is introduced butchering a stag. Sure enough, the Lannisters orchestrate Robert's hunting accident and seize control of the throne from the Baratheons.
When Dany asks Mirri Maz Duur if anything can be done to save Drogo, Mirri very briefly and visibly glances at Dany's stomach. Probably not a detail you'd notice if you didn't know what was coming.
Drogo's wound becomes infected in spite of Mirri Maz Duur's treatment, but several episodes later she reveals that she hates the Dothraki and wants revenge on them. Certainly she botched the treatment on purpose in order to facilitate her ultimate betrayal.
Sansa says, "I'll be a good wife to [Joffrey], you'll see. I'll be a queen just like you, I promise! I won't hatch anything!" This stands in contrast to a different queen, who does hatch something.
Regarding Sansa and Lady, Robert tells Ned, "Direwolves are no pet. Get her a dog and she'll be happier for it." So far, Sandor Clegane, often referred to as "Dog," has done more to protect Sansa than Lady ever did.
When Jon relates his tale of that night with Ros that never really was in the end, not wanting to father another bastard, Sam goes back to saying "so you didn't know where to put it." How do we know he wasn't thinking of anal?
The parallels between the personalities and fates of the direwolves and their Stark masters.
Grey Wind joins his master Robb in battle and sometimes even strikes the first blow, just as Robb leads from the front.
Lady is the most docile of the direwolves, but is ordered to die on command of the Queen, just as Sansa is at the mercy of the Queen.
Nymeria is abandoned and left to fend for herself, just as Arya is.
Summer seems to be pretty even-tempered and is only seen attacking out of defensive instinct. Bran is even-tempered and outspoken in his desire to protect his subjects.
Shaggydog is particularly aggressive. Rickon is irritable and confused while most of his family is away.
Ghost is different from the rest of his siblings and is discovered having separated himself from the rest of the litter, just as Jon Snow is a bastard and leaves Winterfell to join the Night's Watch.
Jorah's armor looks oddly familiar, doesn't it? It's Northerner armor, because Jorah was a knight of the North until he was exiled, and he would naturally bring along the armor he possessed before his exile.
Dany's survival of the bonfire in the season one finale is foreshadowed several times. In her first scene she steps into a scalding bath without reaction. Later she holds burning-hot dragon eggs without ill effect. After her brother's death, she flat-out asserts, "Fire cannot kill a dragon."
The parallels between Sansa and Arya's situations in "A Garden of Bones." Both endure torture at the hands of the Lannisters, and both are rescued by the Lords of the Lannisters. Tyrion compliments Sansa on her composure after being stripped and beaten and Tywin compliments Arya on her smarts for traveling as a boy. The ironic part is that Tywin is completely unaware of who Arya really is!
The melody sounding as The Purge of Robert's bastards goes on in the first episode of the second season is "The King's Coming". Indeed King's Landing, here comes your new king.
If you look closely at the model of Harrenhal in the opening, it has the remnants of moving parts, showing that it's not just the model of a broken castle but a broken model of a broken castle.
The deliberate parallel between Jon Snow and Theon Grejoy in "The Old Gods and the New" when they are holding prisoners at swordpoint and ready to kill them. Theon, driven by the need to prove himself to his harsh and brutal men, chooses to succumb to the pressure to do something he clearly doesn't want to and delivers a botched execution on Rodrik. Jon, meanwhile, is alone with his prisoner, and no one would know if he took Ygritte's head or spared her. And in the end, Jon spares her. This does a great job showing the difference between the two unwanted bastards of the Stark household.
When Daxos is vouching for Dany and her people, the one among the Thirteen who nods first and most enthusiastically? Pyat Pree. Considering their arrangement, the foreshadowing is quite subtle but very deliberate.
No wonder Tyrion begins his conversation about Myrcella with Pycelle by asking him for a laxative. He's full of shit.
Bronn's cautionary words about the distribution of wildfire are validated. During the battle of Blackwater, we see some workers lose hold of a bunch of rocks there were pulling towards a catapult. Now imagine if that was wildfire.
In his first meeting with Dany, Pyat Pree dismisses Xaro's possessions as "baubles and trinkets," even though Xaro is known as the richest man in Qarth. It later turns out that not only is Pyat working with Xaro, but that Xaro's treasure vault is empty. Pyat knows that Xaro's riches amount to no more than the furniture and bric-a-brac around his home.
In "The Night Lands", Melisandre whispers to Matthos, Davos' son, that death by fire is the purest death. What happens to Matthos in Blackwater? Death by wildfire.
The beautiful symmetry between the Season 1 and Season 2 finales. Both seasons end with the return of something supernatural that hasn't been seen in centuries, but where Season 1 uses fire to bring about the return of something magical and wondrous, Season 2 uses ice to signal the return of something magical and horrifying. Ice and Fire are recurring themes in the series. Oh, and both seasons end with a Dark Reprise of the maintheme.
Although it's never remarked upon in the show, Robb's marriage ceremony is a compromise between his faith in the old gods and his wife's faith in the Seven. They're married by a septon in front of an oak tree (a weirwood being unavailable in the South).
Some of Drogo's lines in the House of the Undying are similar to lines from Conan the Barbarian, another character portrayed by Jason Mamoa;
Drogo: Or maybe this is a dream. Your dream or my dream, I do not know. These are questions for wise men with skinny arms. You are the moon of my life, that is all I know and all I need to know. And if this is a dream, then I will kill the man who tries to wake me.
Conan: Let teachers and priests and philosophers brood over questions of reality and illusion. I know this: if life is an illusion, then I am no less an illusion, and being thus, the illusion is real to me. I live, I burn with life, I love, I slay, and I am content.
In the premiere, there's a scene where Robb and Catelyn argue about trading Jaime for Sansa and Arya, during the course of which Robb yells at his mother; he immediately looks guilty and ashamed. The next scene is of Joffrey and Cersei arguing about Arya, during the course of which Cersei slaps her son; he immediately threatens her with death. It's a great contrast between the relationships among the Starks and the Lannisters.
Dagmer's kraken sygil is torn apart. Of course he'd be the one to betray Theon.
"What Is Dead May Never Die" is a Double Meaning Title. It's the motto of the Drowned God of the Ironborn and spoken by Theon during his baptism. It's also a reference to Arya's Deceased Fall-Guy Gambit in the the final scene, convincing the Lannister men that they can't kill Gendry because he's already dead.
"The Old Gods and the New": Robb compromises the North's campaign and his duty as king for a woman (Talissa); Jon compromises the Night Watch's mission for a woman (Ygritte); Theon compromises his hold over Winterfell for a woman (Osha). You can even make a case that Balon is right, and Theon is ruining everything because he can't keep it in his pants but at the same time is too chivalrous to just rape and kill like an Ironborn would. Instead, he acts like every other son of a certain Ned Stark, who nearly ruined his marriage when he came back with a bastard to raise at home.
In "Valar Morgulis" no less than four main characters are offered a "temptation" to leave the struggle they are immersed in and escape it all into a far easier life: Dany tempted to stay in the illusory world with Drogo and their son, Theon tempted to join the Night's Watch, Arya tempted to stop looking for her family and go to Braavos under Jaqen's protection, and Tyrion tempted to go to Essos and live a life of pleasure with Shae. All of them reject their temptation, because it would involve denying and losing their very identity.
When Salladhor Saan says "You Westerosi are funny people. Man chops your fingers off, you fall in love with him,", he's specifically talking about Davos and Stannis, but this is also a callback to Greatjon and Robb.
Way back in the very first episode, Jaime chided Ned Stark for not competing in tournaments, to which Ned responded, "I don't fight in tournaments, because when I fight a man for real, I don't want him to see what I can do." Later in season 3, Jaime and Brienne are caught by Roose Bolton's men because a farmer had seen him fight in a tournament, recognized him and told them. Jaime's vanity has finally caught up to him!
Daenerys suddenly reveals herself to be fluent in Valyrian in "And Now His Watch Has Ended." This was hinted at in previous episodes when she teaches her dragons a Valyrian command word and translates the phrase "valar morghulis." She also has an unheard conversation with a dying slave in "The Walk Of Punishment." During her conversations with the slavemaster, her expression also occasionally betrays her understanding.
There are several hints as to the identity of the cleaning boy who "rescues" Theon:
He quotes the Stark words, "Winter Is Coming," hinting that he's not from the Iron Islands as he claims.
He refers to Theon several times as "my lord," when it was established in Season 2 that commoners always say "m'lord" rather than "my lord."
The soldier calls him "bastard" just before being killed.
He tells Theon, "We're not in the Iron Islands." This is similar to a line delivered by Roose Bolton to Robb: "We're not in the North."
Right after Burn Gorman's character kills Craster, Mormont is heard screaming, "You will be cursed by every law...!" This is a reference to Sacred Hospitality, which is a big deal in ancient cultures and in Westeros.
Both Melisandre and Thoros of Myr are red priests. However, while she is fanatical, uncompromising and has Stannis' victory as her main goal, he is a laid-back drunkard that cares mostly about protecting the smallfolk and has recovered his faith only recently. Reflecting their attitudes, Melisandre dresses in bright, uniform red robes, while Thoros wears faded pinkish or maroon clothes.
Maester Luwin thought that his last act would be to send the Stark boys to relative safety of the north, rather than the wars tearing up the south. Unfortunately by the looks of it, south would have been the better choice in spite of everything. Welcome to the Zombie Apocalypse, kids!
Roose Bolton remarks to Lord Karstark upon finding the hundreds of dead Northmen in Harrenhal that "The debt will be repaid, my friend. For them and for your sons." Upon first glance this appears to be a show of solidarity by Bolton for a still grieving ally, but then you remember that Karstark is still furious over Catelyn's freeing of his son's killer, and that this may be a sign of Bolton turning on the Starks, especially given his son's recent sacking of an unarmed Winterfell.
"And now his watch is ended" has a lot of examples of children who weren't considered a threat coming back years later to haunt their tormentors: Varys and the sorcerer that mutilated him, the orphans weighting on Theon's conscience, Arya accussing The Hound of Mycah's murder, and the Targaryen children being butchered during Robert's Rebellion. The only Targaryen child that is still alive, Dany, has taking the Iron Throne as her life aim, and now 19 years later she's just seized the army to do it. So, what's the first thing Dany does with this army? Order the deaths of all soldiers and slavers in Astapor, which as far as we know might be the entire free adult population of the city... and tell the Unsullied to spare their children. Uh oh.