I liked the finale overall. It wasn't completely a barn of loose threads like True Blood usually does, though it wasn't full of closure (as this story never is). The stand outs, besides the Whitewakers, was Jaqen's cool change of appearance, Tyrion getting the shaft (sucks for the audience/Tyrion, but it makes so much sense in this world), Sansa enjoying her moment of "freedom" and Robb behaving like a bloody fool. I also really liked Theon's big speech and how they turned that there.
My only complaints are really to do with Dany's story. I actually like how they did HOTU on a budget for the most part. No we didn't get that clue to that major thing the fans all theorize about, but the use of Drogo and her would-be son, the throne room in winter, etc. was effective. What was not, was her escape. After so much build up (most of the season) to this bloody house, the way she escaped was way too easy and quite disappointing. I can understand if they couldn't have the dragons burn down the whole bloody house, but then the writers should have been more inventive and found some clever way for her to free herself beyond doing the obvious.
Also, I'm not one to complain about most changes from the books because I understand the changes of mediums, but tonight added one more change (up to three for the year) I really hated. It was Doreah betraying Dany and helping Xaro, followed by Dany burying her alive. Doreah was the one who helped Dany get Drogo's respect and love. In the book she died in the Red Waste and Dany stopped the march a whole day to comfort Doreah. Why keep her alive just to kill her here as a traitor? Especially with Irri gone (the other handmaiden whose still alive and well in the books), they're cutting away Dany's confidants. I'm also really surprised they killed off both Doreah and Irri given you'd think they'd put that scene from the third book in a show like this.