My main gripe with the premiere is the fact that they stuck the prologue in the middle of the episode. Just like the books, introducing these new characters BEFORE returning to the old ones is a far more effective way of showing you who they are, what role they play in the world, and making you give a shit.
The choice to start with the scene with Sir Dontos was kind of weird, and I was really expecting them to do the prologue scene as a cold opening. I was surprised and a little disappointed when I started the episode on HBO Go and it went straight into the opening sequence. Introducing Davos, Melisandre and Stannis halfway through took a lot of momentum out of the episode, and if I hadn't read the books I'd be wondering why they took me out of all the other things going on to show me these characters I've never seen before.