Man, thanks for this again. I'm checking out the map and it all seems so informative, cool. We have seen the first 4 episodes and it's a bit hard remembering the names of the townsfolk and such. But I see the link also have the people listed. Fantastic!
Maybe I should do a LttP thread, dunno.
Pay attention to the Houses and you'll start remembering characters.
Particularly the House sigils, i.e.:
House Stark: Direwolf
House Lannister: Lion
House Targaryen: Dragon
House Baratheon: Stag
House Greyjoy: Kraken
House Mormont: Bear
House Clegane: Dog
House Tyrell: Flowers
It seems like a lot, and there are many more, but pay attention to the people within the Houses and who they identify with.
It will take a while but it will start to sink in and you will pick up the lore. I've rewatched all four seasons many times over now, and know who everybody is on the show, and generally have a good understanding of the overall lore.
If you have access to the Blu-rays, there are really informative histories and backgrounds with gorgeous animations in the special features. They really help to inform viewers and even go beyond what the show itself tells you. I'm not sure if the DVDs have those same features, though you really should be watching this show in HD. You can really see the budget go up as the seasons progress. Where we are now, the show looks almost like a high budget film.
Hope this helps.