Kudos to you for not resorting to Torrents!
I will say that, as someone who hasn't seen all the episodes from the beginning (nor read all, or in fact any, of the books) I think it's a damned fine series and worth watching at whatever point you jump in. If you like historical drama -- things like Rome, or Deadwood -- you will like Game of Thrones. Martin's innovation in his approach to fantasy material is, FWICT, that he approaches it largely like historical drama, with lots of different, well fleshed-out actors on the stage, each their own admixture of good and evil and indifferent, each with their own priorities and foibles and agendas, fighting for the soul of society while certain disaster for all looms on the horizon. [Not too much unlike the world of late Republican Rome in many ways... or our present world, arguably. :( ]
That at any rate is how the series plays on screen. And may I say, it's also a boon beyond imagining to see Peter Dinklage get to sink his teeth into an epic, nigh-Shakespearean role worthy of his talents*. Tyrion Lannister is, thanks to that show, one of my favourite characters of all time. So much so that I'm tempted to break my long drought of fantasy reading and go out and buy the books, in which he's surely fleshed out far more.
(*Oh yeah. If you like Shakespeare, especially the history plays or the tragedies, you'll like Game of Thrones. For much the same reasons as I give above. Although the series is more ambiguous about good- and bad-guy-ness than the Bard typically is.)