Before watching Game of Thrones, I used to invoke the "witches & warlocks waving their arms in a spell" imagery of Dio-era Black Sabbath. But there are potent themes on display.
  1. Anarchy: there is no established global order in Westeros. Across the narrow sea, there is no established order, but there are rules governing state relations.
  2. States are self-interested, seeking to boost their military and economic interests. The former is seen through alliances; the latter through the Iron Bank of Braavos.
  3. Interests almost always prevail at the individual level. The lone exceptions are Ned Stark and perhaps Jon Snow. Humans are best understood as self-interested.
  4. Alterity or the "Other": this is arguably the most potent theme. It permeates all levels of the show. King's Landing treats the Iron Islands, Dorne and the North as the "other." Same applies to those guarding the Wall and those outside of it. Same with the religions.
  5. Occupations are often based on "enlightened" ideas but fail to account for the occupied's needs. This captures Dany's failures in Mereen. This could also apply to Stannis's push beyond the Wall.
  6. Running a successful counterinsurgency strategy is extremely difficult. The Sons of the Harpy (or whatever they're called) embrace guerrilla tactics: hit & run, blend in with their surroundings, enjoy local support.
  7. The coming of Winter may force some actors to abandon realism in favor of liberal internationalism. That is, state interest may be supplanted by continental interest.
  8. Without individual and state alliances, power cannot be sustained. See the Red Wedding in season 3 when Roose Bolton ends his support for the Starks and joins with Tywin Lannister.
  9. Power is the constant objective of individual actors. Power is achieved through military might (Stannis Baratheon), diplomacy (Tyrells), manipulation (Littlefinger, Cersei, Tyrion, Varys), economics (Iron Bank of Braavos) and charisma (Dany).
  10. Morality is immaterial to outcomes. One of the least moral actors, Littlefinger, is one of the most successful. Liberating slaves is a moral idea, but involves the slaughter of elites. Ned Stark arguably had a well-developed code of ethics. It didn't work out for him.
  11. Until the threat of Winter appears, all actors favor zero-sum outcomes. I win, you lose. Winter, as mentioned, could lead to enhanced cooperation.