Peter Dinklage: Not bad by any means, but overrated as fuck. The show's whitewashing didn't made any favours to his interpretations, either
Alfie Allen: One of the most underrated actors of the entire show. The level of nuance and inner struggle reflected on his performance makes up for (almost) all the lost inner monologes
Lena Headay: Hated S1 Cersei, loving S5 Cersei. Weird. This is a very rare case of an actress becoming better with each passing episode. Same thing as...
Kit Harrington: His latest impersonations of Jon Snu have been nothing but awesomeness and to be fair the material that he had to work with during the first seasons was abysmal.
Diana Rigg: Her Tyrell impersonation greatly improves her book counterpart. I love to see one of my favourite book-politicians being so well realized
Natalie Dormer: Yet another case of a character getting improved from the books due to its casting choice. She perfectly balances cunning, bitchiness and sweetness. Also, her Dreamworks smirk fits Margaery so well XD
Maisie Williams: She nailed Ayra, despite of some acting inconsistencies. The Hound's final scene and the look that she gave to him gave me massive chills
Siddig: A bit too early to tell, but I am not entirely sold on him yet. A bit too much rigid and not decrepit enough to my tastes. The "fire and blood" twist works precisely because he looks weak in the beggining
Emilia Clarke: Good person, but wholly unsuited to interpretate Daenerys. That being said, she hasn't had any proper script material to work with since "Dracarys"
EDIT: The imbecile that posted in the unsullied tread also spoilered non-book readers about Sansa's "horrible scene" -_-