Like others, I didn't know this series existed until the HBO show came on TV. I watched Season 1 and then decided that I didn't want to have to keep waiting for new series to come to the UK in order to find out what was going on.
I started the first book, with the rest of the series already stashed on my Kindle for straight after. I went straight from 1 to 4 it was so good.
I think Book 1 is the most intriguing, because you don't know where it's going to go, you don't quite get what the Others or the Wildlings are, or how it's going to affect anyone. I love the introduction to the characters and the never knowing what is next. That's continued throughout the series, but best in this book.