I do love Tyrion. He is the best! There are several theories about who belongs in the "Three-Headed Dragons" thing, and Tyrion is rumored to be one of them. In terms of secondary characters I like the new Theon Greyjoy, and even Victarion, who is also rumored to be a dragon.
It really is. It's exactly like the medieval world is, but with dragons and the undead.