I started reading the books after the second to last episode. Already finished the first and second book. Now I'm on the third.
If you start reading the series, don't skip the first book. Theres a lot of stuff not even touched upon in the tv show. Lots of history of the realm, info on the war between the others\wight walkers and the children of the forest, and even a battle scene they cut from the season to save money. The story is superb.
