Because of the plot and the characters! Oh, wait... besides that?
Pretty much everything's been covered. One of the things I find most interesting is the build up towards the return of... THINGS! The things beyond The Wall, the things over seas, the magic things, the God things... The things! It's like magic and stuff is slowly creeping back into the world and all the characters are busy fucking around (in every sense of the word) and they don't see just how scary their world is about to become!
It's like there's a storm cloud above them and they're all looking at the ground, not paying attention. I just think that's pretty special; the foreboding.
Also, the characters are crazy complex, for the most part. Nobody is entirely good. Ned is the most black and white character in there and even he has some history.
Also, the tits? Yeah, it's nice to see tits and such but I've found that it matches the tone and plot just right so while later you might think "yeah, dem wus good titties!!!" or whatever, you don't really notice it so much. I find sex in movies and tv shows to be annoying, usually. "If I wanted tits, I'd watch porn. I HAVE THE INTERNET, TRUE BLOOD! I DON'T NEED YOU!!!" It often gets in the way of the plot. But sometimes the characters are revealing plot details while they're fucking!
So, to sum up; great characters, plot, foreboding and titties. I love all that shit.
But if you want to read the books at any point, don't. You seem to not be entirely patient and the books require a lot of that. And nerves, you need a lot of nerves, man. Especially after the first one.