The title of this episode, "Winter Is Coming", is the Stark family motto. Each noble family has its own motto. For example, "Fire and Blood", the title of episode 10 of season 1, is the Targaryen family motto.
In the opening credits, both Emilia Clarke (Daenerys Targaryen) and Iain Glen (Ser Jorah Mormont) mistakenly have the Lannister lion sigil next to their names while Sophie Turner (Sansa Stark) has the Targaryen dragon sigil next to hers.
King's Landing, Winterfell, the Wall, and Pentos rise from the mechanical model of the globe in the opening credits. These are the places that this episode focuses on.
Daenerys Targaryen: (after receiving a horse as a wedding present from Khal Drogo) Ser Jorah, I don't know how to say "thank you" in Dothraki.
Ser Jorah Mormont: There is no word for "thank you" in Dothraki.
Tyrion Lannister: Let me give you some advice, bastard. Never forget what you are. The rest of the world will not. Wear it like armor and it can never be used to hurt you.
Jon Snow: What the hell do you know about being a bastard?
Tyrion Lannister: All dwarves are bastards in their father's eyes.
Illyrio Mopatis: A Dothraki wedding without at least three deaths is considered a dull affair.
Daenerys Targaryen: I don't want to be his queen. I want to go home.
Viserys Targaryen: So do I. I want us both to go home, but they took it from us. So, tell me, sweet sister, how do we go home?
Daenerys Targaryen: I don't know.
Viserys Targaryen: We go home with an army. With Khal Drogo's army. I would let his whole tribe fuck you, all 40,000 men and their horses too, if that's what it took.
Robb Stark: (about his brother Jon Snow) Go on Tommy, shear him good. He's never met a girl he likes better than his own hair.
Eddard Stark: The man who passes the sentence should swing the sword.
Jaime Lannister: (on why he would dislike being the King's Hand) Their days are too long, their lives are too short.
Jaime Lannister: (after pushing Bran Stark out the window) The things I do for love.
This episode premiered on Sean Bean's birthday.