[Locke.]

In my opinion, Season 3 > Season 1 > Season 2. Big moments from each season:

Season 1

Jaime pushes Bran from the window
Daenerys marries Drogo
Catelyn takes Tyrion hostage
Ned fights Jaime
Bronn fights for Tyrion in a trial by combat in the Vale
Ned discovers Cersei's kids aren't Robert's
Drogo kills Viserys
King Robert dies, Joffrey now King
Ned is betrayed by Littlefinger, all his men are killed, Sansa captured
Arya escapes King's Landing
Robb calls his fathers bannermen and marches South against the Lannisters
Robb tricks Tywin, defeats the Lannisters, and captures Jaime
Ned is beheaded
Robb is proclaimed King in the North
Jon and the Night's Watch march beyond the Wall
Daenerys kills Drogo, hatches the dragon eggs

Season 2

Arya is captured and taken to Harrenhal
Daenerys arrives at Qarth
Melisandre birth a shadowbaby
King Renly is murdered
Bran's dreams continue
Jaqen allows Arya to give him 3 people to kill
Theon betrays Robb and takes Winterfell
Riot in King's Landing, Sansa almost raped, Hound saves her
Daenerys' dragons are stolen
Jon is captured by the Wildlings
Catelyn frees Jaime
Jaqen helps Arya escape
Stannis attacks King's Landing and gets defeated by a dwarf
Robb marries Talisa and breaks his oath to the Freys
Theon is handed over to Ramsay
Daenerys goes to the House of the Undying, gets her Dragons, leaves Qarth
White Walkers and Wights march on the Night's Watch

Season 3

Theon is being tortured, has his dick chopped off
Brienne vs Jaime, then captured by Locke
Locke chops off Jaime's sword hand
Sandor fights and defeats Beric, Beric resurrected
Mutiny at Craster's Keep, Lord Commander killed, Night's Watch scatter
Daenerys sacks Astapor and takes control of the Unsullied
Robb beheads Karstark and loses more of his army
Jon breaks his vows and sleeps with Ygritte
Melisandre takes Gendry from the Brotherhood, Arya leaves and is kidnapped by Sandor
Robb makes another marriage pact with the Freys for Edmure
Roose lets Jaime go
Jon and the Wildlings climb the Wall
Robb comes up with this classic chat up line: "If you don't put some clothes on I can't promise I won't attack you again"
Jaime saves Brienne from a bear
Tyrion marries Sansa and destroys Joffrey at the wedding feast
Melisandre leeches Gendry for his King's Blood and Stannis throws them into a fire and says he wants Robb, Balon and Joffrey dead
Sam kills a White Walker
Jon escapes the Wildlings
Jorah, Daario, and Grey Worm take Yunkai for Daenerys
Robb, Catelyn, and Talisa are murdered at the Red Wedding by Walder Frey and Roose Bolton. Everyone stops watching the show.
Grey Wind's head is attached to Robb's body and paraded through the Twins
Bran goes North of the Wall
Ygritte shoots Jon a few times, he gets back to the Wall
Davos tells Stannis to head to the Wall and fight the White Walkers