The books are fun because of the rich detail of interconnecting info and the subtle style of GRRM who likes to hint and imply instead of just stating things, leaving the reader to figure it out.
For example in the first book, one of the major questions is who are Jon Snow's parents, but the show has never tried to address it because it can't be done through subtle hints and vague scenes like in the book.
Or on the show they just come right out and show Renly as gay and having an affair with Loras, but in the book it never explicitly says Renly is gay, it just implies it with hints here and comments there, very easy to miss if you're not pyaing attention. That's what makes the books fascinating, but also why it takes him years to write them.
I still say its better to read first because reading gives you a broader experience. Plus the show was more willing to stray from the books in season 2, so it is still entertaining to watch despite having read the books already. Just a matter of personal perference I guess.