Let's nitpick this world. While I like what Martin did with his worldbuilding, I find a few things off and a little implausible. The timespan of Westeros' history seems a bit hard to believe. They've existed in the same basic feudal system for thousands of years. I'm not saying that's impossible, but it's highly improbable they didn't eventually reach something like the industrial age. Historically, feudalism seems to be an intermediary phase that doesn't last more than several hundred years.
It's also implausible that a feudal kingdom could be maintained over such a large region. Westeros is about the size of South America. In an age when it would take weeks and months to travel great distances, I just don't see how they could maintain this, even with their intricate network of raven communication. Tax collection must be a real bitch. The show makes it even worse, showing people making journeys from north to south or vice versa in what seems to be a matter of days. Khaleesi taking years to reach Westeros actually seemed the most believable journey. I realize she was biding her time, but even if she'd not decided to stay and hang out in Essos for a time, it would've been years before she'd have made it to Westeros. Look how long it took Alexander to travel and conquer his empire. And he wasn't usually taking super extended breaks to fart around in his conquered cities.
Some of the same families have existed for thousands of years and managed to maintain direct hereditary lines, the Starks being the best example. Why such a long span? Fantasy writers tend to be notorious for doing this, perhaps to add to sense of grandeur and scope in their mythologies. However, a more likely and realistic timespan of Westeros from the time of the First Men to the time of the Great War would be, at max, 2000 years, and even that is stretching it a bit.
Another point that bothers me is the way the Ironborn seem to have an infinite supply of wood to build their ships. With the vikings it makes sense, because they usually lived on the mainland of Scandinavia where there was an abundance of trees. But the Iron Islands is a small archipelago and even if they had forests, they'd likely have cut them all down with all of the massive fleets they've built. They must be growing something like Pine, which has a pretty fast growth rate compared to most trees. The only way to explain how they seem to have an unending supply of wood. Perhaps they raid and harvest wood from the mainland, but they would still need their own wood to build more ships to take to the mainland to harvest more trees. And I don't see where it's ever mentioned they do something like this. It's never mentioned they have any permanent settlements on the mainland. But If I were the king of the iron islands and I wished to maintain an endless cycle of raiding and pirating, my top priority would be securing a mainland colony from which I could draw more resources like wood.
I realize these are small points to nitpick about in a world featuring dragons and ice zombies.