Where would Robb Stark be if he had listened to his mother Catelyn's warning about not trusting Walder Frey, or at least made sure Grey Wind was invited to his uncle's wedding? Probably not with his direwolf's head sewn on to his decapitated corpse and his nearest and dearest all brutally murdered, that's where.
Watch your step/don't place your trust in someone you know hates you with a passion
Oberyn Martell had Gregor Clegane on his back dying of puncture wounds when he took his eye off the 6ft 9in killing machine lying beside him for a split second. It was enough for him to lose his teeth, eyes, and, well, anything else that might have been in his head. See also Ned Stark, who really should have known better to believe anything Petyr Baelish told him.
Think twice before betraying a woman who owns actual dragons
This one seems quite self-evident but apparently there are people out there who still need it said.
Even a relatively stable relationship will be your undoing
Ned and Catelyn. Talisa and Robb. Tyrion and Shae. Cersei and Jaime. OK, maybe not Cersei and Jaime. The point is don't fall in love, or at least, don't tell the object of your affections about it. Because you will almost certainly end up with your head on a spike.
And don't even think about getting married
Don't get hung up on your looks
People noted for their comeliness in Westeros tend to end up quite horribly maimed quite quickly. Save yourself the bother of looking good and keep your body intact.
Gardens are the new golf courses when it comes to business
Conduct all your business, clandestine or otherwise, while having a leisurely walk through a picturesque garden in dappled sunshine. Then eat some lemon cake to close the deal.
All men must die
So don't get too hung up on things like moral compasses or exacting terrible, final revenges.