I always thought this would be the one moment to determine who is in, and who is out on the show, as far as new fans are considered. The shadow baby is pretty far out there, especially for a show that a lot of my friends liked, for being "grounded without too much fantasy". But thats the thing about this series I really like. You get bits and pieces of fantasy at the beginning, but then its mostly shoved aside for the political game. Then out of nowhere, here comes Melisandre with her shadow baby, and everything is turned upside down.
All of my friends texted me last night "Dude, WTF was that!?", but they are all hooked to find out what is going on. Excellent job at building to that moment, I'm glad they left it right where it ended.
Other thoughts:
I liked the introduction of Jeyne being pushed up. It gives Robb something else to do besides take down the Lannisters.
Peter Dinklage is just owning every scene he's in. His scene with Lancel went exactly how I thought it would. Its clear that Tyrion is no Ned Stark, and he plays the game well.
Finally mentioning Davos' fingerbones. This was glossed over so quickly that I felt it lost its importance to why Davos is the way he is. I really hope they expand on the "Onion Knight" background in future episodes.
I really like the changes they've made to Arya's storyline. Granted, I thought the death of Lommy didn't have the impact it should have, because we just haven't had time to get to know Hot Pie, Gendry, and Lommy. But moving the story from the kids being taken to the shack, and straight to Harrenhal instead, made a lot of sense. I'm bitter that Lommy, and Hot Pie really haven't been expanded, but also, there is a lot of Arya coming up, so I understand the reasoning.
Tywin's reintroduction was awesome. Plus, I like that even though Tywin isn't a likable character, its clear that he's headstrong.
Overall, I like the tone set for the season. Granted, everything changes now with Melisandre and her shadow baby, and the gears have been kicked. Now the battle of the 5 Kings truly begins, judging by the next preview. I almost wished this season would have split the books in half. There is so much going on at once.