Besides that they made everyone at least two years older (which makes Sansa even dumber and puts a lot of things out of perspective), besides removing Littlefinger's interest in Sansa, which in turn makes Jorah Mormont sound like an utter creep for his interest in Daenerys, besides making Ned incredibly flat, naive and bordering on dumb, besides removing a lot of Tyrion's style and class and leaving only the boor, besides ridding Tywin Lannister of the epic buildup he received in the book, besides stripping most of Catelyn's wits (namely in the battle with the Mountain Men, but not only there), besides totally failing to convey the grittiness of Westeros...
Littlefinger's interest don't really bloom until a bit later on, as I recall, do they? Plenty of space for that to develop in season two. Jorah is
a creep. Ned is
a fairly one-dimensional guy whose sense of honor completely blinds him to the way the world actually works
; it's only made more obvious because the story is compressed, putting his many, many
mistakes all into one short space rather than stretching them out across the entire book (thereby making his foolishness not quite so apparent at a glance, but there none the less)...
They didn't really change the core of the characters all that much. The changes that are there are in large part due to the medium's limitations, time being the biggest one. The dwarf's absent opportunity to prove himself in combat is one of the larger examples of something directly changing in an existing character. Aside from that, the new made-up characters, like Ros (Roz?), are bigger changes to the story than most anything else, and they're pretty much just there for exposition fodder.
That and all the extra sex. The books have a lot of sex in them, too, but...not quite that much. At least not on the page, where the reader has to sift through it to get on with the story.