I also love the names in GoT (and the series itself, obviously).
My favorites:
Daenerys
AryaSansa
Margaery
Cersei
Melisandre
Brienne
ShireenMissandei
Selyse
Joffrey (well, this form makes me think about the annoying character, but I do like
Geoffrey)
JonTheon
Eddard
SandorTywin
Renly
Loras
Viserys