- When Cersei tells Catelyn about her first baby dying, it's interesting for two reasons. One is that the boy sound like a rightful Baratheon heir ("he looked just like Robert"). The other is that Cersei manages to gain a lot of sympathy with this seemingly heartfelt story -- is she really so bad? Is she regretting what she did? -- but then a Lannister tries to take Bran's life anyway. (The CW is that it was likely Joffrey trying to prove himself to dear old dad. And Baelish takes advantage of that to create some chaos regarding Tyrion.)
- Ned promises to tell Jon who his mother was. He never gets to, we know now. It seems possible that the mysterious Wylla was his mother, but I'm not sure if this is ever validated in the book or whether it was someone else. We just know Ned rode home with a baby boy, that Catelyn hated him because he was a reminder of Ned's infidelity, and that Ned still viewed Jon as his son and a Stark regardless. Was Wylla his mother? Or someone else? The claim is made that Jon resembles Ned at his youth more than any of his non-bastard children... how odd.
- Even early on, Tyrion is bitch-slapping Joffrey, sending him crying to mother. Hilarious. But he pays for it later, as the animosity grows and Joffrey rises to power.
- Lysa sends the letter to Ned about John's being murdered and flees back to the Ayrie. This helps convince Ned to be Hand, to protect his friend Robert. Later on, of course, we discover that Lysa murdered her own husband and sent the deceptive note at Baelish's request... Baelish wanted Ned in the capital.
- Robb looks so young.

So does Bran.
- Bran was always a good explorer and climber, but sucked at combat skills. Arya on the other hand was far more motivated and talented.
- The dead stag (sign of house Baratheon) and dead wolf (sign of house Stark), having apparently fought each other... nice foreshadowing.
- I forgot what a jerk Viserys was: "We go home with an army. With Khal Drogo's army. I would let his whole tribe fuck you - all forty thousand men - and their horses too if that's what it took," said to younger sister Daenyres, who is already feeling dehumanized.
- Foreshadowing with the myth about the dragons breaking out of their shells when brought near the sun -- just like the eggs eventually burst when placed in the heat of the funeral pyre.
- Jon encourages Arya to name her sword. Later, the Hound (?) notes that people who name swords are cunts. We also see the Hound's nifty dog-helm in episode 1.
- Sansa begs to go to the capital -- "It's all I've ever ever wanted!" she insists to mom, while making googly eyes at Joffrey. Oh, how quickly times change....
- Ned insists to his children that since he is passing the sentence [on the deserter], he must be the one to carry it out. To him, this is a mark of honor and responsibility. Note how the events of Episode 9 contrast with this, in terms of who commands the sword vs wields it to do the dirty work.