It's funny... I actually had a similar reaction... back in 1999, the first time I read A Game of Thrones.
I re-read that chapter a number of times before I moved on... after I finished the book, I put down the series for a number of years. My teenage brain recoiled quite horribly from the sheer brutality of it. Didn't pick up A Clash of Kings until 2002.
Oh right... why...
Because I was used to good guys winning. Because they're the good guys. Eddard Stark was the honorable, moral, badass quintessential good guy (if a bit past his prime... more of a grizzled veteran good guy archetype, really)... and the story was still open for him to get out alive... until he didn't (at the time, it was already cemented in my head that he was going to the Wall. That was one gut-punch of an upset). That's damn good storytelling. Martin got our hopes up, kept them rolling, and then utterly crushed them.
The most recent main character death in A Dance With Dragons, though... it was sad, but I saw it coming a long way off. I think I even know what happens after. Still, it was like the death of a friend I've known since high school. One who has been struggling with cancer for a few years. I'd say Rest in Peace, but I know that's not going to happen with R'hllor's servants around...