Honestly, the biggest changes I see to between the book and the movie tend to occur due to how they show the characters. The books rely a lot on inner thoughts to show how people think, and what they think of other people. None of which works in a more visual medium. Combine the limits on how much tie you have to show some things, and you'll see a bit more on why things are changed so much.
Take, for example, Arya's stay in Harrenhal. Very difficult to show off on TV, as we don't have access to her thoughts, combine that with her tasks being fairly monotonous and time consuming and it's no surprise to see much of that cut in the show. Instead, they add scenes with Tywin and Arya, showing off both characters in a time efficient manner, without resorting to simple telling.
Overall, it's interesting to watch and see how they handle the characters and really show off some of them. I do enjoy the shows, though I wish they had a bigger budget, just to see more. And I wouldn't mind a second Tyrion, he easily carries the show at times (and honestly, the books, at least in the beginning.)