I finished the first book yesterday. I was VERY impressed. Martin managed to balance an incredible amount of characters, and his writing style is amazingly realistic considering it's a fantasy world. I found it fascinating that the "fantasy" element doesn't really come in until the end of the book (though hints of it are scattered throughout). The book, like Lost or Battlestar Galactica, works because the characters are so sharp, so realistic, and so interesting.
I have a favorite character (Tyrion, duh) just like with any other work, but there weren't any characters that I didn't like.
I'm definitely looking forward to the sequels -- please don't spoil anything for me!