I've read them all and I really enjoyed them. I've also seen all of the TV series. (FYI the book series is called "A Song of Ice and Fire," only the first book is called Game of Thrones--the best title IMO).
It is fantasy, it takes place in a medieval fantasy realm, primarily on the continent of Westeros. However, the fantasy doesn't seep into everything. There's a lot that goes on that could be written as plain old historical fiction.
The story is told by an array of Point-of-View characters in three settings:
1.) Westeros, The Wall: a big wall of ice, manned by the Night's Watch, designed soley to keep the nasty stuff of the far North away from the rest of the continent. Only one POV character here.
2.) Westeros, South of the Wall: this is most of the story takes place. The various houses vye for power and there are wars and politics and all that jazz.
3.) Essos: a different continent. There's only one POV character over here. She is exhiled, but has a claim to the Throne via the previous dynasty and wishes to take it back.
Very broadly, there are two main plotlines--who gets the Iron Throne? and, what's going to happen with all that craziness beyond the Wall?
You could say the main protagonists are the Stark house, comprising of a lord, lady, 3 legitimate sons, 1 ******* son and 2 daughters, who are all 14 or under when the series begins. Most of the Starks have POVs, but, that said, some of the "mainest" characters aren't Starks.
The characters are mostly realistic and well written IMO. There isn't much black and white in the books, just shades of grey.
The events often play out fairly realistically as well IMO. For full impact, I recommend you NOT read ANYTHING about the series online until you are at least done the first book, but preferably the third. The first season/book is old news now and people spoil it left right and center.
I recommend reading the books first. The show isn't as good IMO and from my *ahem* online discussions about the series I've found the images/notions of the characters people get from watching sometimes blind them to subtler things in the books. I watched the show first and wish I hadn't, but if watching helps you get into the series, it's not a biggie.