The fantasy drama television series is filmed at Titanic Studios in Belfast, on location in the United Kingdom, and in Croatia, Iceland, Malta, Morocco, Spain, and the United States. Why not visit some or all of the exotic destinations where filming for the program actually took place?
Here’s an article to help you plan: http://www.goeuro.co.uk/blog/game-of-thrones-destinations-every-fan-should-visit/. If you would like to travel by train, there’s a site that even tells you how to get from one location to another: https://www.raileurope.com/blog/15216-game-thrones-filming-locations-train.
Since I’m going to Iceland, I found this article focusing on filming in that country to be useful: http://www.telegraph.co.uk/travel/destinations/europe/iceland/articles/game-of-thrones-iceland-tour-filming-locations/.