My guess is that the show is probably the most expensive show HBO has ever undertaken.
HBO did a show some years ago called Carnivale. They cancelled it after two seasons because it was too expensive. Someone at HBO said that if Carnivale had come in at around $2-3 million per episode to make, they would have kept the show. Thats close to $40 million per season. Rome must have cost much more to make, and the sets for Game of Thrones are very much on par with Rome. Considering all the places yet to be seen in GoT e.g. Quarth, Mereen, Casterly Rock, Sunspear, Riverun etc, GoT could easily outstrip the cost of Rome. Not to mention costumes for the different kingdoms, plus a much larger cast.