They had me hooked from the very first episode.
Watch Game of Thrones.
Alfie Allen as Theon Greyjoy.
Daenerys holds court; Cersei returns a gift; Jaime learns from his mistakes.
Regarding the special features of the DVD set:
If you're new to the series, I advise that you look only at this, and do not look at any of the special features on the discs before watching all 10 episodes, because some of these contain spoilers, particularly on disc 5.
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Season 2 Character Profiles.