Since you like the show, give the first part of A Song Of Ice And Fire a try. I understand it might be expensive. It's a rather big book. I'm just suggesting it for you to keep it in mind.
And if you like Noir-Fiction, try any of the Marlowe novels by Raymond Chandler.
Last, but not least, The Lord Of The Rings. If you have watched the movies, but your main aim is to expand your vocabulary you will not be disappointed. There is much to learn from Tolkien!