The thing I find about Game of Thrones is that the dark and horrible moments like this are what make it truly compelling; not because I enjoy the feeling of despair at a beloved character dying but because it makes the happy moments, the jokes, the moments of solace and each victory feel ten times as good.
When you've been hammered over the head with the fact, that just like real life, a character can die at any moment, even the smallest victory feels like a major triumph because they're still alive. Yes, seeing Robb die was a huge kick in the feels when I read the book, but it makes me all the more glad that Jon Snow escaped the wildlings. Him and the Halfhand were captured by people who wanted nothing more than to see them dead, Jon had to lie and do some pretty awful things to make them trust him enough to keep him alive, all for the scant hope that he could make it back to the Wall to warn the rest of the watch.
The fact that, thus far, he's survived the wildlings, made it back to the right side of the Wall and is finally free of them is a huge accomplishment, and one you can relish all the more for knowing he potentially could have been killed at any point.
The other thing I would say is that George Martin may be cruel but, like fate itself, he is at least fair. Being good does not protect you in this series, but neither does being evil. And just because someone starts opposing the good guys, doesn't mean they're evil themselves.
So stick with it. There's still plenty more to come, and I assure you there's a whole lineup of characters you will come to root for as much, if not more than, the Starks. Nor is the series without its moments of vindication. If you're this affected by things going wrong, you'll really feel it when they start going right.
