As some have mentioned, this episode may have felt a bit more like an epilogue than a standard climatic season finale. But GOT is by no means a standard TV series!
We have resolutions, and pieces set for what's to come of next season.
Again we have a major character dying (Drogo), and I suppose we should get accustomed to that. There's no telling what will happen next to any character with George RR Martin it seems, and that's what makes it brilliant!
The resolutions for Robb "The King of the North", Jon Snow and Danaerys were all more or less foreseeable, but none the less, super climatic in the episode. The Greatjon delivered a stunning motivating speach, as did Old Bear Mormont, and we get brilliant performances by Emilia Clarke and Iain Glen as Dany and Jorah.
On the contrary, I was caught totally by surprise by the newfound respect and trust that Tywin puts in Tyrion, passing on to him the title of Hand of the King, showing how little faith he now has in Joffrey (not that surprising) and Cercei (didn't see that one coming at all, as I thought they were the two pulling the strings for the Lannisters). This should be interesting to see Tyrion at court, hopefully getting us some more Joffrey-slapping, funny Bronn moments (I guess he'll come as his personnal guard and his confrontation with the Kings Guard men should be interesting) and, I'm sure, delightful battles of words between Tyrion, Littlefinger and Varys.
Those last two delivered again a briliant duel of words that isn't in the book (haven't got that far in the book, but when there's no point of view character, it's easy to guess which scens were added for the series), once again showing their mutual respect/fear for each other. You do not truly believe Varys when he talks of his respect of Petyr, but when he says "I wouldn't bet against you", you believe him a lot more, and I've been told we haven't seen the last surprise and trick up the sleeve from Lord Baelish, whose ambition, and talent at manipulating people should get him far in the story.
There was also two very instersting moments that were not in the books, that's the revelation of Maester Pycelle senility, as he speaks to Ros about Joffrey, as if she was Cercei, and showing us how clueless he is about Joffrey's character. The paralle he unkowingly makes about the descend into madness of Aerys II and his own mind collapsing was spotless.
We also see a broken Cercei now sleeping with her cousin, and surprisingly not a single scene where she tries to condemn Joffrey or take back power over him (justifying Tywin's decision), she seems clearly broken, unable to control the monster the has created.
Finally Arya gets saved somewhat by Yoren, assuming the identity of a orphan boy, that she was often mistaken for in Kings Landing, and marching to the wall to supposedly take the black! Nice to see Gentry coming along, and apparently going to be somewhat of a companion of misadventure for her, Robert's bastard might play a big roles in upcoming books/seasons (and suprisingly the series was oblivious to his bastard daughter in the Vale), I'm highly doubtless that she will eventually become a sworn "brother" of the Night's Watch, but it's a nice turn of event for her character, and a story arc I look forward to.
All in all this first season of Game of Thrones introduced us to the deepest, most rich and complex universe ever put to the small screen, and maybe even the big one. In fact, I can't really believe the brilliant world and characters created by Martin hadn't already been translate to another medium (like a video game at least, since a movie will be way to short of a format to even translate one book in a couple hours), but we can be thankful that such a gem seems in good hand with the show runners, the help of Martin, and the money of HBO, although I hope they get even more budget for next seasons, are huge battles are clearly ahead of us, as well as dragons, and hopefully the flaming sword of Tyros of Myr, a character totally absent from the show for now, only seeing a quick scene with his companion Beric Danderrion, as I've been told those two are a quite interesting pair starting book 2. Which I'm going to start reading asap, since waiting 10 months for what's to come in Westeros seems totally impossible for me!