Daenerys: Lost some shine. In the books I always got the impression that she was a tactical genius (in addition to everything else), and I freely acknowledge that I may have been taken in by an unreliable narrator. But even in that case, there's still an implication that she's supposed to appear incredible and that her mistakes are due to the weight of everything she's taken on herself. In the show, everything ends up looking like her own fault, and the big moments just aren't as big.
Exception being Drogon's return and her first dragonride. That had years' worth of payoff and was quite possibly the most epic moment this show has seen. Not surprising that they left her alone surrounded by a khalasar at the end of the season, but the excuse for a cliffhanger is going to have its own payoff when S6 opens up with more dracarys and Dany bringing down the hammer. (Reminder: I haven't actually seen S6 yet. No spoilers.)
Jon: How cool was it that they devoted an entire episode to the battle at Castle Black? Eh? Eh? FINALLY A MAMMOTH. And then the North just kept getting cooler (heh) as they introduced a named giant character and a gazillion wights swarmed over the shore. Okay, so Jon himself isn't to thank for any of this, but he can only be as interesting as his setting, and the Wall is pretty darn interesting these days. I'm sad that Ghost has been underutilized, but I love seeing Jon in command. Kind of wish I didn't know he wasn't really dead.
Tyrion: Potentially an improvement from the books, since he doesn't do anything especially loathsome and he gets to hang out with Varys a little more (I love Varys). I could do with the end of Jorah, and I thought the long-awaited Dany-Tyrion meeting was anticlimactic, but it's still exciting to see the Imp in Meereen. Please let's get him on a dragon.
Sansa: Now that I've actually seen what happened in her S5 arc after hearing all the uproar secondhand while it was airing, I have to say it was a daring and sophisticated move to have her ha ha ha ha no let's be real. It was a pathetic, insulting, sensationalist waste of a character who should have been coming into her own as a subtly dangerous woman who's gaining skill in the game of thrones in spite of her former naivete and persistent misgivings. I have hopes for her as the story advances but it's going to take a lot to dig out of this hole.
Arya: It's pretty hard to go wrong with Arya. As long as she keeps training as an assassin, she's going to be irresistible. I don't even care how close she sticks to the source material. Replacing the Kindly Old Man with Jaqen H'ghaar is justifiable because it's nice to see him again. How about some Syrio Forel, I wonder?
Bran: How to keep an endless trek through the snow interesting? Obviously: Snow Zombie Benjen Stark riding a megaloceros. Okay, we're not going with that? Well, you didn't have to kill the kid from Love Actually instead, that was harsh. Please let's just get Bran set up with the Children of the Forest and devote the rest of his screentime to visions about the other characters.
Catelyn: *crickets* How are they not using this plot twist? It boggles the mind.
Theon: I'm not enamored of the endless torture/broken man journey, but I gotta hand it to the actor. He sells Reek without slipping for a second. I hope there's some nice little assurance of redemption for Theon early in S6 and then he dies.
Jaime: Look, no matter how amazingly beautiful Myrcella turned out, no matter how sweet it was that you had a bonding moment right before she died, nothing is going to make incest romantic for me. Other than that! Jaime's scenes are usually a lot of fun, especially with Bronn as the other half of his dream team, Dorne as their setting, and all the other massive departures from the books. Occasionally I forget his hand was cut off, which probably goes to show that he's recovering from it surprisingly well.
Cersei: However many key scenes they cut down or reinterpret for the show, you know HBO was never going to miss the chance to parade a female character through the city naked. Can I force HBO to walk through the city naked? Anyway, I'm sure it had the desired effect and everyone feels so bad for Cersei that they're on her side now. Personally, I was more interested in watching her try to rule and botch the job over and over again, but whatever, let's see her fall and recover; not gonna make any guesses at what comes next. (Wait yes I am. FrankenGregor??)
Brienne: This is probably the arc that's disappointed me the most. After being cast perfectly and having, what, three great seasons? -- now she's kind of vague and not that likable. I guess the big, aimless wander was always in the cards for her, as was her awkward friendship with Pod (not loving him either), but now it's without the insecurity and compassion that made her so sympathetic as a POV. Here's hoping she rescues Sansa soon; both of their stories could benefit from that.
Davos: HOW DO YOU LIKE YOUR KING NOW, SHORTHAND? Actually it's kind of good to see Stannis going off the deep end. As the epic begins to wrap up, what we need is one massive threat for everyone to get behind (the Others), and one fabled hero who can lead us to victory against them (Dany). We don't need kings and queens attempting to gain enough power to remedy the situation; their job now is to keep dragging Westeros further into chaos. Really makes me wonder how they're going to deal with Melisandre, though! I thought it would be her and Ghost teaming up to resurrect Jon, but maybe not.
Sam: *sigh* It's Game of Thrones. Everyone's got to have a sex scene.
The Rest of Them: If you ask me what my unpopular opinions are on A Song of Ice and Fire, the first thing I'll probably say is "Arianne is an idiot and the Sand Snakes are boring." I don't even remember if Arianne showed up in S5, but the Sand Snakes are still pretty boring, albeit lovely and dangerous (yeah, lovely dangerous woman does not equal interesting character, please let's all keep that in mind).
Tommen/Margaery is a GROSS-OUT, but only because I can't stop thinking of him as ten years old. Wouldn't mind a little more Tyrell right now, even though the Queen of Thorns hasn't been quite as crafty as I'd hoped.
Littlefinger is a slimy little fink and God bless him for it. Robin Arryn is surprisingly healthy, which is a tad disappointing. Ramsay the new Joffrey, which pisses me off because a) psychopath villains are gratuitous by nature and b) Joffrey did it better.
Okay doing this by the character and covering specifics also apparently means leaving it in my browser for days on end until I finally got around to completing it. I'm not going to ask if I left anyone out because that's just laughable.
I'm pretty glad I don't have access to the next season yet, tbh, because between Luke Cage, Breaking Bad (soon to be Poldark), Agents of SHIELD, and my resolution to get caught up in Doctor Who this year, I'm overwhelmed with television as it is.