I think it is hard because there is obvious depictions of violence against women, which is poorly handled, especially in the first series. The books are definately better, and I would say that very few female characters are badly treated by the author as such (maybe Lysa Tully?). I'm trying hard not to give spoilers but I hope some of the characters will suprise you.
My favourite thing about the books is actually the more subtle female characters who are still equally strong in their own way, for example Sansa and Catelyn Stark. I think there are a lot of sword weilding heroines in fantasy these days, most of which I find fairly unrelatable. Unfortunately, these are probably the characters worst treated by the show, especially Sansa. I just don't feel the showrunners "get" her character at all :(.
The books and the show are obviously set in a backdrop where women traditionally don't have much power, except in a few isolated regions and are often forced to marry against their will. Now, obviously you could say that any fiction depicting these things is anti-feminist, but I would disagree. I would say the books (mostly) show these things as wrong and they show several women rejecting these traditional choices, and being successful, relateable characters.
For the record, there are some scenes which pass the bechdel test- mostly involving Sansa and Shae, ironically, so in that sense it's not completely unfeminist.
The books are definately much better than the show, though.