Let's start at the very beginning.
The world of GoT is divided into four landmasses, but our main focus (as of now) is on two of them - Westeros and Essos. Everybody - and I mean, literally everybody - is fighting everyone else to gain control of the entire landmass of Westeros.
Geography, Houses, and Bastards
Westeros is about 3,000 miles long starting at the very cold north pole, and stretching all the way down a varied mixture of terrain and ending at the desert-like south. The land is separated physically into three main parts: the splendidly cold North, the mid-region, and the hot southern desert. It is politically divided into two - the land Beyond the Wall and the Seven Kingdoms.
Starting at the very bottom, you have Dorne. It is separated from the rest of Westeros by Red Hills. The ruling house is House Martell, and bastards born here assume the last name of "Sand." It is rocky, dry, and hot, and the people are of darker skin. There is a lot of trade going on here with other islands (especially of spices), and the customs here are very different from the rest of the continent.
To the west, you have The Reach. It is the stronghold of House Tyrell (Margery, Ser Loras) and is ruled from the castle Highgarden. Bastards born here take the last name "Flowers." It is the most fertile region in the continent.
Above Dorne, you have the Stormlands. It is the seat of House Baratheon (Robert, Stannis, Renly), who have ruled it from the castle called Storm's End. Bastards here are given the surname "Storm." As the name signifies, the region is rocky, stormy, marshy, and contains many forests. The Tarth House (Brienne) is a part of this region.
Above Stormlands, you have the Crownlands, the seat of the Iron Throne. The ruler of the Iron Throne is regarded as the ruler of the entire land of Westeros. The capital city is King's Landing, and the bastards here are given the name "Waters." Currently, the throne is held by House Lannister (through Cersei, the Queen Regent, with Joffrey being King). Previously, the Iron Throne seated Robert Baratheon.
To the west, you have the Westerland, the kindom of House Lannister (Jaime, Cersei, Tywin, Tyrion, and everyone evil), who rule it from a massive stone fortress called Casterly Rock. The region is mountainous, and bastards here take up the name "Hill". This is the richest land in the continent due to the overwhelming numbers of gold and silver mines.
The region in the center of the continent is called Riverlands, a medley of plains, hills, forests, and numerous rivers. The main river here is the Trident. Bastards are, of course, given the name "Rivers." The north part of this region forms the southern part of what is known locally as The Neck. For many years, the area was ruled by House Tully (Catelyn [Stark], Lysa [Arryn], Blackfish), but is now in the hands of House Frey. This region sees a lot of trade due to the rivers and is the location for the Harrenhal castle.
The archipelago of seven islands to the left here are Iron Islands, the land of the Greyjoys (Theon, Yara), who rule from the castle Pyke - also the name of the bastards born here. The seas around the islands are very stormy and destructive, and have also destroyed and eroded most of the Pyke castle.
To the islands' diametric right, we have The Vale. Also known as the Vale of Arryn, it is the seat of House Arryn (Jon: dead before the series began, Lysa, and the son she nurses still, Robin). The treacherously mountainous kingdom also includes some of the most idyllic regions in the land. The rulers rule from the castle Eyrie, which is located high above the ground, in the snowy Mountains of the Moon. Bastards here are called "Stone."
The North is the largest of the seven kingdoms. The region is ruled by our heroes, the Starks (Ned, Robb, Sansa, Arya, and everyone else who is good), from their castle, Winterfell. The kingdom is vast, thinly populated, with lots of forests, plains, and small villages. There are two geographic boundaries: The Neck to the south (Jojen and Meera Reed, who have just met Bran and Rickon) that holds Moat Cailin, a mega fortress, and The Wall to the north. The region is extremely cold, sometimes snowing even in summer. Bastards are called "Snow." And I love Jon Snow.
Essos is the largest continent, and the weather grows hotter the more south you go. Dany is the main protagonist on this land. The land is divided into many distinct regions.
The Free Cities are 9 independent cities located on the west coast (Braavos, Myr, Pentos, Volantis, Lorath, Lys, Tyrosh, Norvos, Qohor). Except for Braavos, every other city is a remnant of the mighty Valyrian empire. To the east lies the vast, dead, grassland called Dothraki Sea. It is inhabited by the famous (or infamous, in the GoT world), barbarous Dothraki people, headed by their Khals. Then you have Slaver's Bay, that contains the slave cities of Yunkai, Mereen, and Astapor(land of the Unsullied, where Dany is now). To the extreme east, you have Qarth, from where hail the warlocks who have been trying very hard to kill Dany. East and south even to this are mysterious lands, most notably Asshai, from where hails Melisandre.
Now that we understand the geography, let us look at where everyone comes from and where they want to go.
Prehistory and Timeline of events
Before men made an appearance, the land of Westeros was inhabited by short, human-like creatures called Children of the Forest. There were also giants and other magical creatures.
Around 13,000 years before the series began, you had the First Men (who came from Essos) invade Westeros from the South. They pushed further and further into the land, establishing kingdoms and settling all over the place, but also constantly warring with the Children. So, 2000 years later, the Men and the Children made a pact to live peacefully. The Men started adopting the customs and the Gods of the Children. 4000 years after the pact, House Stark was founded by Brandon the Builder. You also had the founding of House Lannister and had kings take control of the Reach, Storm's End, and Iron Islands.
Then came The Long Night. It was the longest, darkest, and coldest winter in history, lasting almost 100 years, followed by a long period of darkness. It was at this time that The Others (aka White Walkers) move down from the farthest north (The Land of Always Winter), wreaking havoc and fear in Westeros, killing almost all men. But they were eventually defeated when the Long Night came to an end. It is said that they were led by a great hero named Azor Ahai(Melisandre, who worships AA as God, believes that Stannis is his reincarnation). Within the next century, Bran the Builder built the massive fortification made of ice and called The Wall. A sworn brotherhood called the Night's Watch was also created to protect the Wall. Wildlings - humans who wish to be "free" and not a part of the Seven Kingdoms - live beyond the wall.
A couple of thousand years later, the Andals arrived from the east and entered Westeros through what is now the Vale of Arryn. They constantly warred with the First Men and the Children, and gradually overcame every king except the Stark king, thus establishing the Arryn bloodline.
Meanwhile in Essos, dragons were discovered in volcanoes by Valyrian shepherds, who tamed them by magic and gained power, establishing the kingdom of Valyria. Constant warring ensued in Essos for almost 4000 years. At this point, Nymeria, a warrior princess from the kingdom of Rhoyne set sail for southern Westeros. Here, she met and married Lord Martell after burning her 10,000 ships. Thus was established Dorne, and House Martell was formed. Valyrian Freehold gained power over most of Essos, except for the Secret City of Braavos that was founded by religious leaders who had taken refuge in the hills to the west. A Valyrian noble family called the Targaryens took hold of an island and built a castle whose tower is in the shape of a dragon, called Dragonstone. Meanwhile, in the North, House Bolton, who are located at Dreadfort (in the realm of the Starks) rebelled against Starks for many generations, but finally swore fealty to them just before the series begins.
Soon followed the Doom of Valyria - a mysterious catastrophe involving volcanoes that burned down the Valyrian empire. The Targaryens were still strong on Dragonstone because of the power of the last three dragons. Braavos revealed itself to the world, becoming powerful due to its banks, and the Free Cities and cities of Slaver's Bay were liberated.
The Targaryens, Aegon the Conqueror, and his two sister consorts, then migrated to Westeros on dragons, conquering all kingdoms except Dorne and founding King's Landing, thus establishing the House Targaryen. For the next 200 years, Westeros was plagued by civil wars and was once even led by Aegon's rumored bastard half-brother, the first of the Baratheons. All the dragons were killed. The last of the Targaryen kings was Aerys, the Mad King.
Events that took place just before GoT began
Multiple things happen now that lead to the events of the series. Robert Baratheon and Eddard Stark are wards together at the Eyrie, under Jon Arryn. Tywin Lannister is proclaimed the Hand of the King and proposes Cersei's hand for prince Rhaegar, Aerys's son. But King Aerys refuses and marries Rhaegar to Elia Martell of Dorne. Almost a decade later, Robert Baratheon is engaged to Lyanna Stark, the sister of Eddard Stark. Catelyn Tully is engaged to Eddard Stark's older brother, Brandon. Jaime Lannister now becomes a member of King Aerys's Kingsguard.
During a tourney at Harrenhal, Prince Rhaeger names Lyanna Stark the Queen of Love and Beauty instead of his own wife Elia, and abducts Lyanna, causing much scandal. When Brandon Stark and his father appeal to King Aerys to ask Rhaegar to return Lyanna, he has them both killed. He then asks Jon Arryn to deliver the heads of Robert and Eddard. Instead, the houses Stark, Tully, Arryn, and Baratheon rise in rebellion. Robert fights to reclaim the throne in the name of his ancestor. The Lannisters betray the Targaryens, with Tywin Lannister sacking the city and Jaime Lannister killing the Mad King, earning the nickname Kingslayer. Prince Rhaegar is killed, as are Princess Elia Martell and their children. Targaryen supporters secretly smuggle the two other Targaryen children - Viserys and Daenerys - to Essos. The abducted Lyanna Stark is discovered dying. Later, Robert becomes King and marries Cersei. Ned Stark (who is married to Catelyn and has fathered Robb at this point) comes back home with a bastard son, Jon Snow.
Balon Greyjoy assumes kingship over the Iron Islands, but is subdued by Robert. His son, Theon Greyjoy, is taken to the Starks as a ward. Jon Arryn, now the Hand of King, discovers that Robert's children are actually Jaime's and is poisoned in King's Landing.
The Series Starts
In the North, after thousands of years of disappearance, the Others are back. The War of Five Kings (Robb, Joffrey, Stannis, Renly, Balon Greyjoy) is raging. In the East, Dany is using her dragons and amassing an army to return to Westeros and reclaim her throne.
In Westeros, Catelyn Stark hasn't taken too well with Jon Snow and quite simply wishes he were dead. The Stark children find direwolves for themselves. Jon Snow is inspired by Ned Stark's younger brother Benjen Stark and decides to become a sworn Black Brother. Benjen Stark goes missing. This coincides with Robert Baratheon & co.'s arrival at Winterfell to name Ned Stark the Hand of the King. Bran witnesses Jaime and Cersei in the act of sex and is pushed down from a tower, becoming crippled. Ned, Arya, and Sansa go to King's Landing, where Sansa starts developing a crush on Joffrey. Catelyn finds out from Lysa Arryn that Jon Arryn was poisoned. Ned discovers that the Baratheon children are Jaime's, confronts Cersei, and plans to tell Robert. But Robert is conveniently killed before he can find out. Ned tries to smuggle out his daughters from King's Landing before alerting the rightful heir Stannis, but is killed. Sansa gets engaged to Joffrey, the new King who slayed her father, and Arya flees.
In the east, 13 year old Dany is married off to a Dothraki lord by her much older brother Viserys, in exchange for an army. Khal Drogo succeeds in winning the young Dany's heart, and kills Viserys because his incessant verbal and physical abuse (of Dany) was getting out of hand. Dany gets pregnant, but both her unborn child and her husband die. She places the three petrified eggs she received as a wedding present on the funeral pyre and thus are born her true "children," the only three living dragons in the known world.
So what's happening now?
Renly B declares himself king and marches against his brother Stannis. Renly has wed the sister of his lover Loras Tyrell, Margery, securing the support of Highgarden. Stannis has with him a mysterious priestess who plays with fire and light and calls him the reincarnation of god. Catelyn intervenes and tries to make the brothers see sense but fails. Renly is killed by a shadow (possibly summoned by Melisandre), and Catelyn flees with Renly's faithful bodyguard Brienne.
Stannis, when attacking King's Landing, is countered by Lannister and Tyrell forces, who use wildfire. He staggers back to land with his faithful Onion Knight, Ser Davos Seaworth. Tyrion, who was responsible for the use of wildfire and securing King's Landing, narrowly escapes death himself with the help of his young squire, Podrick Payne. Tyrion is also found in the company of the sellsword Bronn, who he joined forces with when escaping from Eyrie, where Catelyn had kept him prisoner for her suspicion of Tyrion being responsible for an attempt at Bran Stark's life. Tyrion has also brought with him his new favorite lady-friend, Shae, who is disguised as handmaiden to Sansa. He has recently been appointed as Master of Coin, replacing Littlefinger, by Tywin Lannister, and has discovered that the crown is over six million in debt. Littlefinger is to wed Lysa Arryn and take Vale, thus depriving Robb Stark of yet another ally.
Robb Stark has been proclaimed the King in the North and is now at the strategic Moat Cailin. He has also married Lady Talisa, a sweet nobody. To cross the river Trident, Robb promised Lord Walder Frey to marry one of his daughters, but broke this contract upon falling in love with Talisa. The Freys are seated at the Twins - two castles on either side of a branch of the river Trident. The house is headed by Lord Walder Frey, who has populated the castles like a bunny, with his eight wives. They were sworn to House Tully, and therefore now, Robb Stark.
Jaime Lannister, who was sent to capture Riverrun (Tully-land) is in turn captured by Robb. Catelyn secretly allows Jaime to go back to King's Landing, accompanied by Brienne, on the condition that Jaime return Arya and Sansa safely back to her. Catelyn is imprisoned by Robb for this, and Jaime and Brienne are captured by Boltons, who cut off Jaime's hand.
Meanwhile, Theon Greyjoy, who is now free of the Starks, returns to the Iron Islands where he is treated like a stranger. His father, Balon Greyjoy has declared himself king. To redeem himself in the eyes of his father and his people, he proceeds to go back to the castle he grew up in and takes Winterfell. Unable to locate Bran and Rickon, he proclaims them dead. But being extremely weak in military strength, however, he is captured and tortured by the Boltons.
Margery Tyrell is now engaged to be married to Joffrey, while Petyr Baelish (aka Littlefinger), who was in love with Catelyn Tully, promises to help Sansa out of King's Landing. Varys (aka the Spy, the Spider) and the Tyrells become aware of this and work out that Littlefinger wants to wed Sansa himself. They plot to have the strength and name of Stark back Highgarden by having Sansa marry Loras. However, Tywin Lannister hopes to trump them by having Tyrion marry Sansa and Cersei marry Loras. Cersei is becoming increasingly suspicious and jealous of Margery and her control over Joffrey.
Arya escapes King's Landing and is now with Gendry, one of Robert's bastards. In Harrenhal, Jaqen H'ghar asks her to board a ship to Essos. Arya and Gendry are now with Thoros of Myr, of the Brotherhood Without Banners, a band of outlaws who fight Lannisters in the name of King Robert. They have since captured the Hound, Sandor Clegane, a former bodyguard of Joffrey, and brother of the Mountain That Rides, Gregor Clegane.
Bran and Rickon are accompanied by their direwolves, Summer and Shaggydog, the wildling Osha, and Bran's faithful Hodor, and are making their way towards the Wall. They encounter Meera and Jojen Reed along the way. Jojen appears to be a seer like Bran and has prophetic dreams. They set out together in search of the Three-Eyed Crow that both of them dream about.
Further North, the Black Brothers go to Craster's Keep. Craster makes his daughters his wives and sacrifices his newborn sons to the Others. Sam Tarly gets taken with Gilly, a pregnant daughter, who is to give birth (to a son). An altercation causes Craster to be killed and the Brothers to turn on themselves.
Jon Snow, meanwhile, accompanied by Qhorin Halfhand, has set out to destroy a group of wildlings who are marching on the Wall. They are taken prisoners by the wildlings. Jon is instructed by Qhorin to pretend as if he has defected to them. Jon does so, killing Qhorin in the process and gaining the trust of the Wildling king, Mance Rayder, a betrayer of the Night's Watch himself. Jon is now to accompany a group of wildlings to lay a siege to the Wall.
In the east, Dany, accompanied by Ser Jorah Mormont, encounters many adventures, including black-tongued warlocks who try to kill her. She has recently been joined by Ser Barristan Selmy, who was previously a Kingsguard to King Robert, but quits when Joffrey becomes king. She has also purchased 8000 Unsullied, whom she frees from slavery, and her dragons are growing stronger than ever.
And winter is coming.