I finished the first two books in the series, A Game of Thrones and A Clash of Kings, a few months ago and have been meaning to do a review ever since. I never got around to writing it and now that I'm about to finish the third book, A Storm of Swords, I don't have the mental energy to go back and try to remember what happened in which book. That shouldn't be taken as a sign that the books aren't worth the effort - they certainly are. Martin's A Song of Ice and Fire series is one of the best I've read. Even if you're not a fantasy fan, check them out. Sure there's magic and dragons but the books are more about political intrigue, the struggle for power, and the complicated relationships of the major (and minor) players that weave in and out of each book.
For any other series, I would probably recommend watching the made for TV version first to give you an idea of what the series entails. However, watching the series after I finished the first book, I was dismayed at all that was left out and the weird jumps the story seemed to take. While you'd probably never notice if you haven't read the book, I still recommend reading the books (or at least A Game of Thrones) first. If you're a fan of a great story, even if you're not a fan of fantasy, you'll enjoy this series. Give it a go!