Yeah that must have been a tough one for the costume department. Lannisters; golden hair, specifically Jaimes as it looks like "spun gold". Targaryens; white gold hair, which after a few weeks on the trail with the horse riding Dothraki, has naturally got a tad duller.
Can see the oppurtunity for confusion. It would have helped if they gave Viserys and Daenys violet contacts (aren't the Targaryens supposed to have violet eyes?) but the hair thing is always something that may have proved a problem visually. Even more so when they talk of the past, where certain Lannisters were supposed to marry certain Targaryens.
By the way, non-book readers, that trail of Dothraki that the two Targaryen siblings are with? Supposed to be 40,000 strong.
Tough on casting, so they naturally trimmed that one down.
Also most scenes involving an entourage (Ned's arrival into King's Landing, the Lannister's arrival into Winterfell) one can mentally add a hundred or so extra men at arms, serving girls, knights, etc.