I think it's because then, it was implied and wasn't so in your face. Like wtf was that thing with the blue eyes? What is this world etc. It worked sort of like that scene in the movie Signs, when you finally see that blurry footage of the 'alien' near the bushes.
Nothing was too out of the ordinary, felt like watching a great show in medieval England etc. Murder, betrayals, fights, etc. And yet that first episode made you wonder there is something out there people have forgotten.
And then all of a sudden you have dragons, you have shape shifters, zombies, shadows that kill people, weird dream shit where you turn into your wolf, warlocks who can clone themselves, all kinds of weird things.
And you have to remember, we didn't read the books, we didn't know just how 'crazy' things get. I thought it would be a bit subtle as magic returns to the land etc.
I know what I wrote sounds dumb, but to someone who didn't know what game of thrones was before the first season, could you have ever thought it would turn into this?