The first season is the best, and it's not particularly close, in my opinion. The world/character building, story telling, dialogues and acting is superior to the rest of the series. Even the action is better, because it's less frequent, but more meaningful. The short fights like Ned vs. Jamie and Bronn vs. Ser Vardis are all intense, well-choreographed and very important to the plot. They just seem more grounded and realistic. When looking at the plot twists, I also don't think anything beats Ned's death - it was beautifully done. Season 1 is also the first and last season that doesn't have a problem with lighting. And it has the one true king, Bobby B!
I could go on, but people that prefer season 2 or 3 are simply not intelligent.