I do understand your point about the fact that when no one's safe, it makes for a better, more realistic narrative. No character should be immortal just because they're the main character. I also read The Walking Dead which also kills off a bunch of characters, so I'm used to this concept, but the way they all died was just brutal. I wouldn't have cared if just Catelyn died, but when Robb and his wife died, that was pretty sad for me. But that's what made the episode all that more powerful and disturbing, and it probably just gets worse from here. I can say now that I'm not pissed about this anymore, it just makes me more excited to see what happens next!
On another note, I just finished watching Death Note and am now going to start the manga, even though it's pretty much identical to the show. Gonna watch Fullmetal Alchemist: The Conqueror of Shamballa and then hopefully start Brotherhood and read the manga eventually. I probably won't read the manga for a while, just so when I do, I won't remember everything and it will seem sort of new to me.