I'm fine with surprises, with killing off major characters, with bouts of evil winning over and gaining the upper hand. However, this kind of entertainment is a form of escapism. People don't want to escape to a dystopia without some legitimate wins on the side of good.
You can't make a series out of 1984. It started with a description of a dystopia, some hope of trying to change the future, and then ended with the realization that those hopes are worthless. You can write a book like that, and make a movie or mini-series, but you can't expect people to WANT to continue with a longer running series if they know that there isn't any hope of a semi-good ending.
Let's look at the "score":
Season 1 - Old king dies, Lannisters take over, Ned Stark gets beheaded, Starks start a war, and some of the Stark kids get separated. (I call this a good beginning; evil triumphs, but there is hope of victory over it.) Daenerys gets her story started, runs into some bad shit, but ultimately gets a satisfying revenge. Varys tries to do good, but Littlefinger fucks him over. Nightwatch starts to see bad shit as "Winter is coming". In terms of the Lion War, though, the season was rather anti-climatic.
Season 2 - Lannisters are still there, being dicks as usual, though Tyrion is having some good luck with it. A bunch of new characters, most of whom are fairly evil or quickly killed off. Grayjoy starts his dark descent into despair. Winterfell is fucked over. More Stark kids scatter. Sansa is still treated like a bitch. Daenerys runs into some bad shit, but ultimately gets a satisfying revenge. Nightwatch really sees some strange shit, and Jon Snow gets into some serious trouble. Stannis finally attacks King's Landing in an epic battle and....
....the Lannisters are still there! WTF?!?
Season 3 - Grayjoy is fucked with mentally, in much of the same way as the audience. Tyrion is fucked over. Sansa is fucked over. Ros (the prostitute) is killed. Even Cersei and Jaime are fucked over and you actually feel sorry for them. Gendry (the blacksmith) is entering a world of pain. Stannis turns to the dark side even further. Varys tries to do good, but Littlefinger fucks him over. The Nightwatch is basically disbanded, while the Wildlings prepare for a futile war, which Jon Snow is forced into. Daenerys runs into some...errr...actually, she's pretty badass at this point. Bran is finally figuring shit out.
Oh, and the Starks are preparing for an awesome plan to raid House Lannister. Rob's wife gets preggers, his cousin gets married to a hottie, and... MOST OF THE FAMILY IS KILLED! Lion War OVA! The Lannisters are still there! WTF?!?
I'm giving it one more season. If I'm not seeing any good payback out of it, I'm not going to bother.
Rosalina: But you didn't.
Robert: But I DON'T.
Rosalina: You sure that's right?
Robert: I was going to HAVE told you they'd come?
Rosalina: No.
Robert: The subjunctive?
Rosalina: That's not the subjunctive.
Robert: I don't think the syntax has been invented yet.
Rosalina: It would have had to have had been.
Robert: Had to have...had...been? That can't be right.