I love the brutal nature of Game of Thrones. Shireen's death was telegraphed from a mile away, but sensible viewers held out hope because A) it seemed too obvious and B) surely they weren't going to kill a child in such a brutal manner. On-screen, no less.
Nope.
What the series (starting with Martin, of course) has done masterfully is make nearly everyone vulnerable at any time, which creates a tension and even a feeling of dread that is impossible to replicate when other shows rely so heavily on their main characters.
Granted, some characters undeniably have plot armor, either permanent or temporary, and it's hard to see the big 4 in Daenarys, Tyrion, Jon Snow, or Arya going down any time soon, but I wouldn't be shocked if one of those 4 bites the dust sometime next season to up the ante yet again.