Given the complexity of the story, I think the TV series is doing a remarkable job of conveying the material of the book.
One thing that is really missing though is the Rhaegar+Lyanna backstory. Admittedly it is hard to include that in the TV series, given that in the books it is mostly "narrated" as Ned Stark's private recollections. I was expecting that they would begin introducing this backstory in the House of the Undying scenes (show the Rhaegar and Elia Martell vision, only to have it subsequently explained to Daenerys and the viewers by Sir Jorah), but even there they completely skipped it.
Especially if the R+L=J theory turns out to be true, this backstory will be crucial to the plot and it will have to be introduced in the TV series at some point.