Reading book one right now. Very surprised at how little is left out on the show. A few things did come to my attention, though:
1. Daenerys' psychological transformation into a Khaleesi is much shorter in the book than on the show.
2. In the book, Catelyn tells Ser Rodrik of her history with Littlefinger en route to King's Landing. I don't recall this happening on the show... Were it to be included, it'd make the importance of Littlefinger's monologue to the two prostitutes easier to understand. I myself failed to realize Littlefinger was talking about Catelyn when I first watched the scene.
Incredibly stoked for season three