Game of Thrones is not like other board games. While there are plenty of strategy games out there, and plenty of games where people have to be dicks to each other, none walk the line between them as well as Fantasy Flight's classic. Which can make it tough to get your head around. So I'm here to help.
I've been playing the game for years now, and having won it a few times with each House (including those in the expansions), I've found a number of key tips to be useful regardless of who you're playing as, or indeed who you're playing against.
Now, these won't be guarantees that you'll win every time - as much as strategy plays a part, even the best-laid plans in this game can come undone through sheer bad luck - but if you're not winning, you'll be coming damn close.
The houses in the game are not balanced. I mean, technically they might be, but play the game enough times and you see that some have a smoother ride than others. If you're playing with 4 players, the two "southern armies" - Baratheons and Lannisters - have a much easier time of it because they're free to chase the empty garrisons in the bottom of the map. Conversely, in a six-player game, the Tyrells and Martells are more secure, especially if they can keep enemy navies off their coast.
The Starks tend to have a tougher time of it because they're spread across the entire North, making them vulnerable. And the Greyjoys...well, look, if you want a hard time (or a satisfying win), use the Greyjoys. It's brutal starting the game with no star tokens, and their place in the game's "meat grinder", where much of the main battles seem to take place (at least in the north), doesn't help.
In short, I've found the two best houses to be Lannister and Baratheon, if not for their proximity to easy castles in 4-player games, then because I've found their decks to be the most generally useful.
DO NOT BE AN ARSEHOLE
While superficially this is a game about conquest and winning battles, that's not all there is to it, and if you're the guy who lashes out and starts attacking everyone (or even anyone) on the second turn, you'll soon find yourself being attacked in turn, from all sides, and out of the game. Keep your cool, man. Let the game breathe for a few turns, let everyone expand a little, find their feet, show their hand as to which way they're organising their armies and movement, then attack.
You'll find it a lot easier to win this game if you make alliances. No alliance is going to last the entire game - everyone has to make a move to win the game eventually - but for 6-8 turns, if you can divide your enemies amongst your friends, you'll find things a lot easier. Rarely will you ever have the supply to have enough armies to cover all your fronts, so being able to safely leave one open for 2-3 turns is useful, if also risky (see above).
HOLD THOSE CARDS
While there are differences between each house's deck in terms of approach, there's still a general sameness to them: you've got 1-2 amazing cards, some middling ones, some ones with fancy effects and 1-2 booby trap cards that are useless in a fight but will also mess with your opponent.
Needless to say, each one is more useful in a certain set of circumstances. But since you have to play a card each time you fight, and half the time you'll be entering combat on the defensive, you won't always be able to play the card you want exactly how you want it.
If you have to prioritise, keep your strongest cards in reserve. Gregor Clegane, Stannis, etc. That might sound obvious, but often the effects of other cards can be tempting! Don't let them sway you. Like I just said, a lot of your combat may come outside of your own careful planning, and when that happens specific effects might be useless. Brute force, however, is always useful.
The game's designers like to make you think that each position on the influence track is equal. They're not. The Iron Throne can be fun if you're deciding tie-breaks, but its main value - that you go first - is nowhere near as useful as the other two positions (unless the game is nearing it's end and you can win the game before other players take their turn).
Fiefdoms (the sword) give you a big advantage in combat, the game's bread-and-butter. So holding that sword is good if you can swing it.
But save your cash for the King's Court. Not only does it give you useful powers, like being able to see the effects of the next Wildling attack or change orders, but its governance of how many starred tokens you can use can make or break the game. A player able to play three +1 tokens vs someone who can't use any has a huge advantage, every turn.
RAIDS? HAHA, NO
Unless you have a particularly dick move in mind, raid tokens are for cowards and fools. In most situations you can play a raid token, you're usually better off playing something like support or power.
Use power tokens as often as you can spare them. Money talks in this game, as betting on the various influence tracks could decide the fate of the game at any given moment (you'll also need cash to occupy territory you conquer but then move your units off). Unless you know an army is going to be attacking, defending or supporting, play a power token on an occupied space. A good plan sometimes, if you can spare the manpower, is to leave a single footman behind your lines, and each turn just drop a power token on him. It might not sound like much, but the 6-8 in cash you get from him could make all the difference.
Siege towers may tempt you with their offensive strength, but it's a mirage. Unless you're playing a 4-player game and want to clean up the stronger "NPC" garrisons around the map, siege towers are more trouble than they're worth. They're just too vulnerable considering their cost, and the fact you can't use them outside of castle battles (and that they're killed instantly if you lose) mean they're not worth it. Get two knights instead.
NAVIES ARE KILLERS
Don't forget the seas! Navies can be a vital investment for all houses, not just for the fact you can use them to launch massive sneak attacks (stringing together ships across regions to jump halfway across the map) but because their value as support units can make a big difference in combat, especially when so many vital regions on the map are coastal.
MAKE YOUR MOVE
OK. Here's the most useful tip I've got. You have to be very careful with how you make your final move for the win. Let me explain.
Unless time runs out, the game is won when the first player reaches 7 castles. Given there's normally 4-6 people playing, though, as soon as one player pulls out ahead and gets to around 4-5, other players will naturally try and peg them back. So if you approach GoT like you would, say, RISK, you'll never get anywhere. Every time you reach out, you'll be knocked back.
Instead, approach GoT like Mario Kart. No, really. This board game, like Nintendo's racer, is built on the idea of rubber-banding. Your armies are limited in size, for example, so you can never stretch out and conquer everything; you've always got vulnerable areas on the map, which is how players are so easily knocked back a spot or two on the victory track.
In Mario Kart, the best way to win is by staying back. Hover around 2-4 place for most of the game, under the radar, then when whoever is out front is knocked out with the finish line in sight, surge and make your move. You do the exact same thing in Game of Thrones.
I've won most of my games by making a single, fell swoop in the game's final turn. I'd spend 2-3 turns getting my armies in place, getting my token order worked out in my head, then when the time came, launching a blitz, one that could seize 2-3 castles in a single turn and end the game before my opponents had a chance to recover. Like this.
It's a risky move, I know, as leaving things so late can result in your plans being disrupted by someone else's plans. So if you're lucky enough to get a bidding war just before this, make sure you get the Iron Throne. If you can't, well, if you followed all the other advice above, hopefully you'll be in good enough shape to deal with a few spanners in the works if someone tries to take you out before you've had a chance to take them out.
That's about it! Like I said up top, these aren't a guarantee of victory every time - lady luck and jerk friends can never truly be accounted for - but if you've been struggling to get over the hump and move to top of the pile in one of these games, hopefully this will help.
NOTE: If you're someone I actually play with, please disregard all the above tips and continue playing as you have been. Thanks.