Stannis and Mel, there were some hints, but it was never stated expressly and does seem out of character with Stannis (though we also have been led to believe that Ned fatehred a bastard, so apparently honor doesn't always include faithfulness to wife). I guess they felt it was needed to explain the shadow she's about to birth.
Jon finds out that the sons of Craster are left as sacrifices to the others in the books, but nothing like this where he sees it or gets knocked out. Just adding some drama to the show since the action with Jon doesn't really pick up until later in book two.
Bronn as leader of the city guard. Very different, but I like it as it clearly shows the city watch are now Tyrion's without having to go into painful detail or introduce another new character.