Listen To The Right PeopleWith war and politics being principal plot points in the show, Game of Thrones has a great many scenes of discussion, guidance, and advice between major figures in Westeros and their advisors. In many cases, it is these discussions that have the greatest impact on the plot.
Get Up After You're Knocked DownGame of Thrones is notorious for its high casualty rate, callous disregard for the lives of its characters, and the tendency for the villains to win. Despite this reputation, however, very rarely does any side suffer a victory that completely takes it out of the running.
Defy Incorrect Social ConventionA major part of Game of Thrones' grimness comes from the backwardness and harshness of Westerosi society. Westeros is based on the very worst parts of the real-world medieval era, being intensely misogynistic, ableist, homophobic, and worse, with very strict gender roles.
Unity Is Better Than InfightingOne of the show's more explicit moral messages is about the perils of people fighting amongst themselves, particularly when there is a greater threat to be dealing with. For much of the show, the White Walkers are a massive, existential threat to all of Westeros, and most characters are unknowingly helping them.
Be Good To Your Family MemberFamily is of vital importance in the world of Game of Thrones, greatly affecting a person's politics, others' opinions of them, and what side they are on in the show's wide-sweeping wars. Despite this, some families in the show treat each other poorly and almost always suffer for it.
The Moral High Ground Will Not Save YouThe moment that defines Game of Thrones forever happens in its ninth episode. After a season of Eddard Stark being the moral, stalwart main character, his honorable mistakes culminate in his public shaming and execution.
Realize That Greatness Can Come From AnywayThe main characters of Game of Thrones are a diverse and unusual lot. In Westeros' backward society that rewards violence and aggression, and looks down on women and the disabled, an unlikely cast of main characters forms.