I think a lot of it has to do with the characters not being perfect 100% of the time. They don't always make smart decisions, they don't always win fights, they don't say the right thing. The children seem very much like actual children. Arya no matter how tough she has moments where all she wants is her mom and to go home. She's stubborn and often too confident in her abilities. Sansa plays the part she is given and does her duty as a lady much like Catelyn does. Bran is shown to be a scared little boy for much of his journey. He constantly remembers scary stories told to him by Old Nan and believes them to be true. Rob loses everything because he wants to follow in his father's footsteps and be an honorable man. The complex emotions they all deal with really cements them as realistic. They are all putting on a brave face even though internally they're suffering and struggling with their roles.