A Game of Thrones: George R. R. Martin: I came late to this series, discovering it through the HBO series. Because Game of Thrones won't be back until 2012 and I missed that world, I decided to start reading the books.
I don't think I've ever seen such a faithful adaption of a book anywhere. I think I could have started reading the second book without having read this first one because the HBO series dealt with the plots and characters from this book in much the same way Martin does. That said, I'm glad I read A Game of Thrones as I feel it gave me further insight into the motivation of each character. I ended up feeling sorrier for Sansa in the book than I did in the series; she was younger in the book (most of the characters are) and more innocent and trusting.
Arya is still my favorite and I look forward to reading more about her exploits in A Clash of Kings. Running a close second to Arya is Tyrion Lannister -- the Imp. I don't know if that's because of Peter Dinklage's portrayal of him in the series or because I just would have gravitated toward his brand of snarkiness anyway; probably a little of both.