One of the challenges of adapting A Song of Ice and Fire into a TV series is there isn't one protagonist or one story. There are three main storylines (across the Narrow Sea, King's Landing, the North) with several branches. The show does an elegant job of integrating them into one story, with characters going out of their way to mention other locations and storylines so we, the viewer, don't feel as disjointed as we might otherwise.

My favorite example of this is the "Robert and Cersei need marriage counseling" scene, where Robert talks about how worried he is about the potential Dothraki invasion of Westeros. Not only does this connect them to Danny (whose chapters often feel like unwelcome interruptions), but it gives us insight into why the Lannister-Baratheon marriage is so important – and what will happen when it dissolves.