If you haven't read the books, then you must. They contain a lot more story which can actually help flesh out situations and characters. The TV show can be a bit confusing if you dont know the books as a result.
But HBO has done an astounding job putting this onto TV.
This is the best book adaptation I've ever watched, as it runs so close to the book.
The picture and sound quality on the Blue ray are amazing, and that goes without saying. You get lots of extras.
But I would recommend buying this now (24-06-12) before HBO stops selling the current prints, and re-edits the entire box set and the final episode due to the George Bush situation (google that).
Get it now, before HBO butchers the final episode!