with all that happens in the so-far published song of ice and fire series, george rr martin could have started the first book, game of thrones, anywhere.. there are lots of scenes that would be compelling.. but the one that he chose, of the Night's Watch across the Wall and the wights, is impressive because of how many themes he introduces there.
a lot of the conflict in this series revolves around class, for instance the obsession of which characters are 'highborn' or rabble, and thinking of scenes like the king's landing riots in clash of kings, or the tension between the lannisters and who they share power with, etc, and that theme is present in the prologue, with the entitled young knight and the poor, outcast brothers.
there's obviously a weather theme, which i think adds a contemporary relevance to the series.. whether intended or not, it calls to mind people reading into lord of the rings an allegory for twentieth century modernization and the destruction of old ways and natural spaces; here, i won't say it's an allegory, but surely there is some awareness of the threat of weather that hovers over us today..
then there's a theme of the unknown, first in their search for their commander long disappeared, and then in the wights that appear from nowhere and command the dead.
overall though, i think the most impressive thing about the series so far is this theme: the fact that the characters have no control in their destinies.. by writing each chapter from a different personal viewpoint, we go along from the beginning thinking certain characters are meant to be on top, certain ones on bottom, but they really have no control. by giving us glimpses inside all the character's minds, george rr martin shakes up our sympathies, and undermines in an effective way predictability.. there are forces shaking things up, that are not made explicit in the writing, and that's what i at least find so compelling..