I watched the first 2 seasons of Game of Thrones and liked them so much I decided to read the books, I'm now knee deep in the third book and they are worth reading, I'm actually not an avid reader of non-fiction, and even less so of big long series (I haven't even read Harry Potter), but these books are really good.
The first season follows the first book pretty closely, though the book goes into a lot more detail and things make a lot more sense, but I did feel I was re-visiting a lot of the same material.
The second season doesn't actually follow the second book that closely. There were parts in the season that didn't make any sense at all but now make complete sense when you bring in the parts of the book that were cut out or changed.
Just a heads up, the first part of the third book is actually the last couple episodes of the second season for certain characters.