The finale was fantastic. The only thing I didn't like about it was the inclusion of those random non-sequitur scenes with the small council near the end (Pycelle, Littlefinger, Varys). What was the point of those scenes, exactly?
But they really managed to nail all the setups for the next book/season. Jon heading beyond the wall, Tyrion becoming Hand of the King, Robb being declared King in the North, Arya travelling North with Yoren, Sansa stuck in the castle with Joffrey... and of course the Daenerys storyline. Good times.
The only thing I'm wondering now -- and this is looking way ahead -- is what they're going to do if they decide to pick up all the five books, and then Martin isn't done with the sixth and seventh (supposedly final) books. What would they do? Just drop it? Make up their own ending? Put the last two seasons on hold and hope to be able to re-hire the actors when Martin's done? Remember that it took him five years between books three and four, and six years between books four and five. Hmm...