You are entitled not to like Game of Thrones. I won't tell you you're wrong not to like it, because you have the right to personal taste. However, for the sake of debate, here are some responses to some of your points.
You are mistaken in thinking that there's nothing about the white walkers between the opening of season one and the end of season two. Jon fights a wight towards the end of season one and saves Lord Commander Mormont's life. Then, a few episodes into season two, he sees a walker take one of Craster's children. However, the general sense that these creatures are a slowly gathering threat is correct and, in my opinion, not a bad thing. Fantastical elements (white walkers, dragons, magic, prophecy, etc.) are drawn into the story little by little. This serves a few purposes.
[*] One is to not alarm the casual, non-geek viewer who might be put off by "fantasy"; hopefully, by the time fantastical elements become more prominent, they will have come to enjoy the show and thus not want to relegate it to the fantasy ghetto.
[*] Another is to give the setting a sense of gritty foundation, of a world mostly like our own in the sense that very few things can violate the natural order. We can connect better with the world and characters when we don't constantly wonder if magic is going to break all the rules at any given moment - instead, we are surprised on the rare occasions when it does.
[*] Finally, this way of presenting things should make us wonder *why* the setting is like this. There is a sense that magic used to be a greater part of the world, but has been gone for a long time (e.g. no one believes in the white walkers anymore, dragons are extinct, Thoros the red priest doesn't believe in the power of his own god, etc.). Now, for reasons that no one fully understands, magic is slowly coming back. Why? We only have the space to slowly notice and begin to question these re-emerging elements because it takes time for the changes to happen.
In terms of the themes clashing, and you not feeling sure what the story is "really" about, I think this is also representative of a strength of the show. In reality, people have different views on what life is really about. This is reflected in the differing priorities of the show's various characters. Also, it's very human that many characters are scrabbling after power and *ruining* Westeros to get it (for however long they hold onto it), unaware of several much more serious threats - threats that Westeros would be better prepared to face if these shortsighted nobles weren't so busy with their game of thrones. In my opinion, that's just the kind of thing that happens in the real world.
If you can't remember what a character's called, that's okay, and maybe it just means that this isn't the show for you. There are plenty of viewers' guides to help with this if you have particular trouble. However, I don't have a problem with this. In my opinion, the locations, props and costume crews of the show do an *excellent* job of differentiating between places and people. I do not think that everyone just looks like another white person.
Finally, for the record, I find some of the sex scenes to be in poor taste, so I'm not particularly interested in defending those. They're certainly not why I watch the show. But that's because I find them to be poorly executed, not just because they're sex scenes. Sometimes they tell you valuable things about characters and situations, but on other occasions they seem cheap.
I have probably missed some of your points, so I may come back to this, but that's enough for now.