When Peter Jackson pulled Lord of the Rings off of its very thin pages (nearly bible-thin, in the copy I have) and onto the screen, he got rid of a few things. Tolkien's charmingly quaint prose, for one thing. More importantly: the book's ending.
Frodo returns, at novel's end, to the Shire. His home. When he gets to the Shire, he finds that his enemy Saruman has ransacked the place. So: he's saved the world, but to do that he had to abandon the place nearest to his heart.
There's is the idea of a "tragic collision," which at least one prickly old German philosopher believed was central to Greek tragedy. A tragic collision happens when you have to choose between serving your family and serving your country, say--or in Frodo's case, saving the whole world or protecting your own little corner of it. When you have to decide between several sets of demands of equal validity.
Tolkien cleans things up--Frodo kicks Saruman out, rebuilds, and lives happily ever after--and Jackson pretends nothing ever happened.
In Greek tragedy, you get one big tragic collision and that's the story proper. The tragic hero makes the choice, suffers the consequences, and the curtain falls. In Game of Thrones, you get one collision after another. And the idea starts to come through: that tragic collisions aren't these things that occur very rarely in certain horrible circumstances but rather a condition of normal life. Everyone is at some point, or at several points, required to make a choice that goes against their normal loyalties. There's never an easy answer, and sometimes there's no clear answer at all. Existence is tragic.
At least one critic has labelled Game of Thrones "cynical." Certainly the series is full of liars, torturers, villains of all stripes, and even the heroes are far from ethically perfect. There's not a concrete hero-villain division. I'm not sure that it's cynical, though.
There's a scene early in Mad Men (ssn 1 ep 2) in which Betty Draper's daughter walks in with a plastic bag over her head. Betty Draper is furious, and reprimands her--for taking the bag off of Betty's dry cleaning. The fact that her daughter is wearing a suffocation hazard over her head doesn't even bother her. And the function of this is to remind the viewer that this is a different time, that we know things now that people in the 1950s didn't. (In this particular scene there's an obvious parallel with the characters' discussion of divorce, which also seems dated.)
GoT can't have this relation to history, and not only because it doesn't take place in a real historical setting (its setting is, besides its fantastic elements, a composite of quite a few historical points). I mean, this is a quasi-medieval time period; it's got to feel distant. Mad Men already feels recent; its writers had to work to remind us how foreign its characters' attitudes were. GoT has to do the opposite.
Hence the lack of archaisms in speech (no "thee," no "thou"), hence the irreverence of so many of the main characters (they don't love feudalism any more than we do), hence the way the show elides all the big differences that might obscure the similarities (e.g. we see Tyrion reading mountains of books, but not the scribes laboriously copying them out by hand). GoT doesn't turn the characters into these divine, mythic figures (as in a lot of shitty high fantasy), but it doesn't let the viewer feel superior to them, either.
Much has been made of the constant sex throughout the series, for instance. But take for instance the way the show moves from, say, showing Tyrion (a sympathetic character) in bed with prostitutes to using the not-sympathetic (as I see it, anyway) Littlefinger to show the brutality that underlies the prostitution. Many films and many TV series create voyeuristic pleasure from ethically troubling situations; GoT forces the viewer to question that pleasure.
The same thing happens with violence. Epic fantasy tends to take lavish battle scenes as bread and butter. When the show begins, no doubt some viewers are looking forward to precisely that. But not only are there relatively few big battles depicted: the series also dismisses their "heroic" nature. One can watch Lord of the Rings and finish with the (toxic) delusion that war is noble and grand; GoT only informs one that war is hell. You have to consider the underside to all these other fantasy series, and the reality of war in the real world (we're a nation at war, aren't we? on terror?).
I don't think Game of Thrones is cynical or nihilistic; I think it's very aware of the ethical difficulties its characters face and the sheer horror of its setting. It's about the difficulty of living a decent life in a brutal, ugly world. But it doesn't spell things out in unequivocal terms, and the ambiguity creates discomfort. That discomfort is part of the point.