First off,
Game of Thrones: Episode 1 - Iron From Ice is tied very strongly to a major event in the TV series. If you haven't finished Season Three of the show, then I wouldn't recommend starting with this game. Get caught up at least to that point before seeing how this new family's story ties into the series.
Assuming that only those who are sufficiently caught up in the series are still reading, I'll get down to it. The game opens the night before the infamous Red Wedding. You start by playing Gared Tuttle, a squire to Lord Forrester. As bannermen for the Starks, you are following Robb Stark as he tries to claim the mantle of King of the North. It's just a shame that the ill-fated wedding means that most of the Forrester's men won't make it through the night. Gared is tasked with returning to the Forrester castle in order to pass the house sword onto the next lord and convey a cryptic message.
You won't play the whole level as Gared though. You will also take control of the young new lord, Ethan, as he struggles with the aftermath of the Red Wedding and having to convince the new Warden of the North that the Forresters are loyal to the crown. What's worse is that a rival family is already much closer to the new Family-in-charge and they are using that influence to try and take over the groves of Iron Wood that the Forresters harvest. Before this episode is over, young Ethan will have to make several tough decisions, among them is who to choose as his counselor and how to treat Ramsay Snow, an ambassador for the new Warden.
The other playable character in this episode is Ethan's older sister, Mira, who is one of Margaery Tyrell's handmaidens. When word of Ramsay's impending visit gets to her, she approaches Margaery in the hopes of gaining support from the crown. This section of the game leads to an interesting interview conducted by Cersei as the Queen tries to uncover the Forrester family's true allegiance.
In what is now a well established gameplay style, Telltale artfully weaves its story around forcing you to make various tough decisions. When Mira is talking to Cersei, does she show herself as obedient and loyal, or as a proud woman of the North? Does Ethan choose a military counselor or the good negotiator? How do you make Gared react to the horrors he sees the night of the Tulley/Frey wedding? Do you tell the cryptic message only to the person you are supposed to, or do you let the others that are probing for information in on the secret? While some of these choices have somewhat immediate consequences, it's obvious that several will have long-lasting effects that we might not see the final payoff for at least a few episodes.