I have been watching The Walking Dead since it started and by the end of Season 2 it was already my favorite show of all time.
I just started watching Game of Thrones in April, and just recently got caught completely up.
In terms of pure shock factor, I tend to appreciate Game of Throne's desire to to make gag and clutch your pearls... but I think The Walking Dead has far more compelling story lines and the ability to build up to a shocking twist of events. In fact, the only character I've ever cared about is the Khaleesi Daenerys Stormborn, Mother of Dragons, Freer of Slaves, Beyoncé of Westeros, House of Targaryen.
I watch both shows and I can safely say that Game Of Thrones is miles ahead of TWD in terms of everything. Especially the last season of TWD had so many filler, non eventful episodes, I barely brought myself to watch them. Game Of Thrones, on the other hand is getting better and better with every season.
Game of Thrones is so much better.
The Walking Dead had so much potential, but it kept getting stale. I watched both religiously, and eventually had to give up on TWD.
The Walking Dead is better on the whole but I like both and neither are perfect. Season 2 of The Walking Dead was really awful and so far this series of Game Of Thrones has been very boring (with a few high points).
I thing the "a song of ice and fire" books are allot better than the show though and the show still started really strong.