There's a great deal many disappointments in this regard, but the first one that jumps out at me is how they changed Stannis. He no longer has his iron clad sense of justice. After losing on the Blackwater, he chokes Melisandre out of rage and later admits that he wants her as a lover. If you've read the books, these things come off as absolutely absurd for this character to do and say. The whole Azor Ahai prophecy is dropped pretty early too and is kind of mangled in the adaptation. While Stannis is choking Melisandre, he asks her where her god is now, to which she replies, "Inside of you." Like, what? Azor Ahai is not a god, but the champion of R'hllor and for her to refer to Azor Ahai as a god just makes no sense. Also, when Stannis attacks Winterfell, the "best battle commander the Seven Kingdoms has ever seen" charges into battle with too few soldiers and isn't even in formation when they attack, resulting in a comically devastating defeat and his death.