Episode 003, "Lord Snow," kicks off with a fury of new information and scenery, a slew of characters and the beginnings of serious tension between the houses of Stark and Lannister. If you want a straight recap of the show, be sure to read Susan's write-up. This commentary treats the show from the viewpoint of a fan of the novels, so there are some slight spoilers for those who may not have finished the books.
I know it's been mentioned before, but I really do want to take a moment to praise the opening title sequence again. When reading the novels, I would constantly flip to the front of the books to figure out where the chapter was taking place on the map of Westeros and beyond the Narrow Sea. So I imagine reinforcing the world, sense of space, setting placements and directions is invaluable to new viewers.
The episode opens with our first good look at the exterior of King's Landing outside the walls of Red Keep. It always intrigues me to see someone else's visual representation of something I had only seen in my imagination. My King's Landing was a far less colorful, vibrant and clean place, I remember the stench being detailed on a few occasions in the books, but playing up the almost alien environment that Lord Stark and his daughters have come to might have been what the show's creators were going for. While in King's Landing, we also get to see the GOLD CLOAKS for the first time. They serve as the city's police force/city watch/defenders. As the series progressed they play an even more pivotal role and it becomes especially important who's really giving the orders.
Ned Stark leaves the rest of his host to settle in while he is called off to a meeting of the SMALL COUNCIL, but not before running into Jaime Lannister in the throne room. Here we are given some more explanation of what happened to "The Mad King" Aerys II Targaryen. Jaime believes that he was doing everyone a favor by killing him as he was planning to have the Alchemists put the whole city to flame to keep it out of Robert Baratheon's hands. For Ned though it's still a horrible dishonor for Jaime to have assassinated the man he sworn to protect, this is how Jaime earned his nickname of Kingslayer.
Moving on from the throne room (though I thought I recalled the meetings always taking place in front of the Iron Throne), we are introduced to the members of the Small Council. The two major important details of the scene are that the King is not in attendance, opting to let other essentially rule while he entertains himself. As Jaime put it "the king shits and the Hand cleans it up." We also learn that the kingdom is 6 million gold in debt, 3 million of which is owed to the Lannisters. See the Lannisters hold control of Lannisport, an important port in Westeros and known for its goldwork. So they are propping up the kingdom with their wealth, but now that Cersei is queen, it's among the family's best interest to keep it afloat.
The next few scenes serve as looks into the inner workings and dealings of the parents of house Stark and Lannister with their children. Cersei cautions Joffrey on his "if I was King" plans to conquer the North and sows some words of wisdom for her son by warning him, "everyone who isn't us is an enemy". She seems to care little for the King and still considers herself and her children to be Lannister, which has more truth to it because of her unsettling relationship with her brother. Likewise, Ned Stark is having a similar conversation with Arya after she and Sansa butt heads. The Stark motto, "Winter is Coming," applies to much more than a change of seasons. He instills to her that they must look out for their own. It doesn't take a rocket scientist to see that these two houses are going to clash eventually.