1 - Winter Is Coming: Yes, the first episode. Bran Stark is thrown off a tower for witnessing Jaime and Cersei's incestual coupling, proving that the Lannisters Would Hurt a Child. He's left permanently crippled as a result.
7 - You Win Or You Die: King Robert dies and names Ned Stark regent, until his "rightful heir" (as Ned writes in the will) comes of age. When Ned shows it to Cersei she rips it up, and Ned is arrested due to Littlefinger's treachery.
10 - Fire And Blood: Drogo dies, for the final time. Robb Stark is declared King in the North by his bannermen, and The War of Five Kings, the focal point of the next few Seasons, begins. Sansa is imprisoned and still betrothed to Joffrey in King's Landing, and Arya escapes as an unknown runaway with a contingent bound for the Wall. For the final shot of the Season, Daenerys burns Mirri Maaz Duur alive on her husband's funeral pyre and walks into it, hatching her three dragon eggs.
4 - Garden of Bones: Melisandre gives birth to a freakish shadow monster with a strong resemblance to Stannis.
9 - Blackwater: Stannis's fleets and army faces off with the Lannisters at King's Landing. Wildfire wrecks the Baratheon ships, Tyrion is severely wounded (and scarred) by one of the Kingsguard, and a surprise cavalry rout by Tywin and Loras defeats Stannis.
10 - Valar Morghulis: Winterfell is burned down, forcing Bran, Rickon, Osha, Hodor, and the wolves to leave a dying Maester Luwin behind and venture north. Jon infiltrates the wildling army as a double agent when Qhorin Halfhand allows Snow to dispatch him in a mock-fight. Daenerys frees her dragons from the House of the Undying, burns Pyat Pree, and imprisons Xaro Xoan Daxos and Doreah inside Xaro's vault forever, Jaqen H'ghar changes his face in front of an astonished Arya. And to close the Season, we get an army of wights led by mounted White Walker generals bearing down upon the Night's Watch at the Fist of the First Men.
1 - Valar Dohaeris: Ser Barristan Selmy returns from Season One to join Daenerys after saving her from an assassination attempt.
4 - And Now His Watch Is Ended: Daenerys sacks Astapor, gaining an Unsullied army, and Lord Commander Jeor Mormont is killed in a Night's Watch mutiny at Craster's Keep.
5 - Kissed By Fire: Beric Dondarrion comes back from the dead, apparently for the sixth time. We also find out why Jaime Lannister killed the Mad King, because Aerys was plotting genocide by detonating wildfire underneath King's Landing. Oh, and Tywin Lannister sets up marriages between Tyrion and Sansa, and Cersei and Loras.
8 - Second Sons: Sansa and Tyrion actually get married, and Samwell Tarly is the first person in a thousand years to kill a White Walker.
9 - The Rains of Castamere: Bran learns how to warg into Summer, saving Jon from the wildlings, who turn on him. He leaves Ygritte behind. Daenerys concocts a successful plan to take Yunkai, which involves one of the biggest fight sequences of the Season. And if that wasn't enough, Edmure Tully marries Roslin Frey at the Twins. AKA "The Red Wedding": Talisa dies. Grey Wind dies. Robb Stark dies. Catelyn dies. The entire Northern army dies... yeah, it's a big episode. Big enough that there's actual news articles on fan reactions.
2 - The Lion and the Rose: The lethal marriage receptions continue, with King Joffrey choking to death at his wedding feast and Tyrion being immediately arrested as the unjustly accused prime suspect.
4 - Oathkeeper: Joffrey's killer is revealed, and it's Lady Olenna! With Petyr Baelish's help, of course. Dany takes Meereen through subterfuge. Bran, Hodor, Meera and Jojen are captured by Night's Watch Mutineers at Craster's Keep and the audience (including Book Readers) gets its first look at the possible Big Bad of the entire series, The Night's King.
5 - First of His Name: Tommen is crowned as King. Dany decides that she's going to stay in Meereen and learn how to rule after hearing that her opponents are undoing her hard work. We also find out the real reason that the War of the Five Kings started — Petyr 'Littlefinger' Baelish had Lysa Arryn poisoned her husband Jon Arryn and made Cat believe that the Lannisters did it, thus directly sowing the seeds for everyone to be screwed over in the resulting feud.
6 - The Laws Of Gods And Men: Stannis and Davos gain the financial backing of the Iron Bank of Bravos. Yara's forces fail to rescue her brother from the Dreadfort, partly due to Theon's own fevered conditioning from his torture at the hands of Ramsay. Shae betrays Tyrion during his trial for regicide and drives him to demand Trial by Combat after lashing out at the court, the city's nobility and his father and sister.
7 - Mockingbird: Oberyn Martell proclaims himself to be Tyrion's champion in his trial-by-combat against The Mountain. Petyr Baelish kills Lysa Arryn by shoving her through the Moon Door.
8 - The Mountain and the Viper: Ramsay and Theon take Moat Cailin and eject the Ironborn from the North, with Roose legitimizing his son as a reward. Daenerys exiles Jorah for spying on her for Varys in Season One. Gregor Clegane is mortally wounded by Oberyn during the trial but also manages to horrifically kill the Prince in turn, allowing Tywin to sentence his own son, Tyrion, to death.
9 - The Watchers on the Wall: The Wildlings attack Castle Black on two sides, with giants and mammoths. Pyp and Grenn perish in the fighting, Jon Snow kills Styr, and Ygritte dies in Jon's arms. Soon after, Jon sets out on a suicide mission to take out Mance Rayder—with no sword and no direwolf.
10 - The Children: Stannis Baratheon relieves the siege of the Wildlings at the Wall. Daenerys locks up her dragons after being confronted with the charred corpse of a child burnt by Drogon. Bran, Hodor and Meera Reed meet the Three-Eyed Raven and discover that the Children of the Forest are not so mythical after all, Jojen Reed dies in an attack by wights. Jaime Lannister frees his brother Tyrion, who promptly pays his father a final visit where he finds his lover Shae in his bed. He kills her and then murders his father with a crossbow and flees King's Landing with Varys. Arya Stark and the Hound confront Brienne and Podrick. The Hound is badly wounded in the fight but Arya leaves him to die and walks away, finding safe passage on a ship to Braavos.