I really don't like the way they've changed Jaime and his relationship with Cersei from the book. I'm also curious about the relationship between Snow and Thorne, seems very different from the books, but not necessarily worse. Show-wildlings seem harder to root for with how they showed their "raiding". Ygritte's death will be less sad this way I think. I never liked her in the books either though, so this isn't ruining an emotional death for me. The Thenns are absolutely terrifying, which really feels unnecessary when you think of their story line in the book this far. Just seems sort of show-offy that they go to those lengths to establish how horrible they are considering no other wildling group gets as much attention, and as far as I can tell all the Thenns do is represent how the free folk are all different and some don't get along that well. I didn't like the way they've changed the relationship between Stannis and Davos (whom I love as a character in both the books and the show). Stannis isn't being very kingly.
The last scene was super dramatic and very well done! On par with the birth of the dragons scene as far as favorite Daenarys scenes in the show go. That storyline from the books definitely needed improving too!