What's interesting about the characters as well is how they're characterized and rounded out. I know that's what you were driving at, but to expand on a couple:
Khal Drogo is terrifying when viewed objectively, but since we're always seeing him from the perspective of Danaerys, who refers to him as her Sun and Stars (and whom he always treats very gently), we get a bit of dissonance between her star-struck heroic view of him and the reality of his actions. Caitlyn is loving and kind to her children and even the 'smallfolk' (as the book dubs commoners), but the way she treats her husband's own bastard son is rather monstrous ("it should have been you"), and that's not even considering the character development she gets later in the series that I won't spoil here. Even the Mountain that Rides is given a bit of an explanation in later books, although admittedly in the first he's just a straight up villain.
I'd be very interested to have a discussion about who actually qualifies as the most villainous character in the series, but we really need to be on the third or fourth book before we can get into the meat of that one.
On the flip side, most of the heroes are somewhat less than heroic. The biggest and best example from the first book is probably Eddard Stark himself. His rigid code of honour is admirable, but that combined with his complete lack of political savvy is his undoing in the end. His brother Benjen puts off a serious Aragorn vibe before he mysteriously vanishes, never to be heard from again (at least in this volume). Robb is certainly brave enough and if he'd been given the chance to grow up first may have been a codified hero archetype, but at this point he's clearly in way over his head.
Bluntly, I've found both Varys and Littlefinger to be rather inscrutable. What either one is driving at is completely beyond me.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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