Yeah, this thread it chocked full of spoilers. So tread carefully.
Some great resource to check out are actually in the DVD and Blu Ray extras. Those are the Complete Histories & Lore of Westeros. They cover a lot of the history that's referenced throughout the show, and it helps to fill in a lot of the blanks. If you don't want to watch them on the DVD one by one, a number of YouTube users have compiled all of those clips into full hour plus long presentations. And those are pretty good for getting a grasp of the broader world of Westeros. You can check out the first one HERE
. A lot of what it touches on revolves around Robert's Rebellion, the Targaryen dynasty and the histories of the great Houses of Westeros.