GoT is possibly my number one ever series. We too arrived at the party a little late but it meant we could watch all three series back to back, infact we were both tired at work for about a month as we kept doing the "just watch one more" at bedtime.
Luckily Rob and Jon will shortly be not in the same place at the same time, so you'll be able to know which is which like that.
Don't go reading online. It's much better if you don't know what's coming. When it was new to TV, it seemed as though everyone who had read the books was very good about not shouting all over the internet, so nobody would come across things unexpectedly.
We're just watching season 2 - still behind the times, but a bit less than you! DH hasn't read the books and is really enjoying the series. To be fair, we have to stop about every ten minutes so I can explain who everyone is and who they are related to and/or trying to kill and/or marry...
(If I remember, I will video his reaction to That Episode in season 3 )