I started with the show, because I wanted to be able to watch it while it aired. Plus, I knew that if I read the books first, I would spend all my time critiquing the changes in the show instead of just enjoying it. By watching the show first, I get to enjoy if for it's own sake, and then I get to read the books and have them be different and deeper and so on.

I'm currently about 1/4 of the way through the 4th book, Feast for Crows.

Comparing the series to Lord of the Rings is probably apt. The books are quite detailed, which is sometimes great and sometimes tedious. I try to take the details in stride, but sometimes I get bogged down. Also, there are SO many point of view characters, and the story switches between them for every chapter, which can be pretty disruptive. You're all in the mood with Tyrion or someone, and then all of a sudden you're halfway across the country with Theon and it's just like nooo, take me back! But then by the end of the next chapter, you don't want to leave Theon, and now you have to hang out with Cersi... you get the idea.

dapperlace, I think you're right that the womens' character development is much better in the books. It's not the worst in the show, but it's much more...conventional? Like, I feel like the women in the show follow much more traditional gender roles, whereas in the books, Martin actually paints a much more complex picture of those characters. I've talked to people who complained about how Dany is portrayed, and they felt like Martin was being a sexist pervert with her character, and I could not disagree more, omg. I held my tongue though, because I didn't know those people well and didn't feel like getting in an argument with them about it. That conversation still haunts me though. XD