Okay, I'll give you that. But can you name any that had repeated, disgusting destructions of protagonists without any closure or sense of justice by the end? GoT feels like one huge string of terrible endings, all ending with yet another terrible ending.
I love that Martin turns typical story arcs about main characters on their heads, and that his stories are both realistic and unpredictable, but at some point you have to acknowledge that people read stories for escape and entertainment. Unless you are entertained by constant brutal death with no point other than to illustrate the awfulness of our world, that leaves your story both pointless and gratuitous. It's just not the way stories are told, unless you're writing Schindler's List. There is a very important purpose to witnessing such horrors, things that everyday people definitely
do not wish to witness when you deprive them of this greater purpose.
I mean you aren't necessarily 'entertained' by well made depictions of historical atrocity. You don't watch Hotel Rwanda because it's a great, feel-good movie. You watch it because it has an important message to send. You can use that in your stories, but shit, it's fiction! It needs to leave some clear purpose in the reader by the end, in some way.
Another thing to point out is that Martin gets away with it partially because HBO executes the show so incredibly well. If it were handled worse, it could be awful. HBO is just the bomb.