I read the first book when it first came out in 1996 and they're much, MUCH better than the show. Anyone who thinks Jon and Danaerys are going to live happily ever after making little Targ babies hasn't been paying attention.
The show is an entertaining diversion, but the last few seasons are nothing but fanfiction--the showrunners apparently have scoured every fansite looking for ideas, trying to please mostly the show-only fans. In the books, the situation is much more complicated. They've killed off characters who are very much alive in the books and haven't even included several.