This question already has an answer here:
What real-world historical events inspired the world of Westeros?
Obviously this isn't clear cut, but some events and locations of the series have highly similar real-world counter parts.
Hadrian's wall dividing England and Scotland is very similar to the Great Wall, in both location, scale and the reason it was engineered.
Llewlyn the Last' plight against the (guess who) English also bears some remarkible similarities with Robb Stark's desperate march in Season 2: http://en.wikipedia.org/wiki/Llywelyn_the_Last
The politics of medieval Germany also strongly remind me of Westeros. It was a country splintered into many different houses just like in the series.
These sigils are amongst the most uncannily familiar:
House Habsburg: http://en.wikipedia.org/wiki/House_of_Habsburg
House Zähringer: http://en.wikipedia.org/wiki/Zahringer
House Kyburg: http://en.wikipedia.org/wiki/Counts_of_Kyburg
Anyway, all fiction has its roots in reality, but these are just some of the surprisingly strong similarities I've uncovered.
Does anyone else know of any other sources that George R. R. Martin may have tapped into?