There is a whole plot line which wasn't even mentioned in the TV series.
Huge spoiler if you didn't read the books, especially for A Dance with Dragons:
Someone is claiming to be Aegon Targaryen, which was assumed to be murdered during the Sack of King's Landing at the end of Robert's rebellion.
While other characters probably will never appear on TV, it looks like this character will become important at least in the final battle against the White Walkers.
Besides that there are too many differences to list them all. Some characters live, while others don't.
As George R. R. Martin wrote before season 6:
Mago, Irri, Rakharo, Xaro Xhoan Daxos, Pyat Pree, Pyp, Grenn, Ser Barristan Selmy, Queen Selyse, Princess Shireen, Princess Myrcella, Mance Rayder, and King Stannis are all dead in the show, alive in the books. Some of them will die in the books as well, yes... but not all of them, and some may die at different times in different ways. Balon Greyjoy, on the flip side, is dead in the books, alive on the show. His brothers Euron Crow's Eye and Victarion have not yet been introduced (will they appear? I ain't saying). Meanwhile Jhiqui, Aggo, Jhogo, Jeyne Poole, Dalla (and her child) and her sister Val, Princess Arianne Martell, Prince Quentyn Martell, Willas Tyrell, Ser Garlan the Gallant, Lord Wyman Manderly, the Shavepate, the Green Grace, Brown Ben Plumm, the Tattered Prince, Pretty Meris, Bloodbeard, Griff and Young Griff, and many more have never been part of the show, yet remain characters in the books.