The books don't really get good until they get to King's Landing...which, it looks like, we're going in the next episode...so, business looks like its about to pick up.
With that said, the first episode was epic. That first scene really just grabs you by the balls. Then, they introduce characters (which is always kind of boring), and then give you the nuts of the Lannister/Stark rivalry going forward as the cliff hanger.