Ok, I'll put what happened in the last episode I saw below this in white text! Which was apparently the 4th episode, not the third.
Some fat guy joined the night's watch and Jon Snow took him under his wing, so to speak. Daenerys thwonks her annoying brother over the head. Other things happened. The main bit was that at the end Lady Stark accused the dwarf guy of killing her son, and essentially took him hostage in an inn. Awesome ending.
I'm hooked, anyway. Visually it's spectacular, and with these highly rated books to go off, there's a wealth of potential, substantial material to provide an interesting story.