The Ending: Young Bran climbs an old tower to make a disturbing discovering about Jaime and Cersei. He is caught, Jaime takes hold of him and asks how old he is. After Bran tells him he's 10, Jaime looks at Cersei and declares "The things I do for love", before promptly pushing Bran out the window.
Why It's Great: Well, they sure set the right tone for the series from the start, didn't they?
The ending to the very first episode is notable for three reasons. The first is establishing that twins Jaime and Cersei have an, uh, let's just say intimate relationship.
Second is to remind us that Jaime was a very, very bad person at first. It's easy to forget after watching his redemption arc unfold over the last few seasons but you only have to see him push Bran out the window to remind yourself "Oh yeah, Jaime was a huge d*ck".
And third, Bran's fall leaves him paralyzed, setting up his arc for the series.