I'm enjoying Penny Dreadful more the Game of Thrones. Some good stuff here and hell of a lot of good actors in it.
I think PD compares extremely well to GoT. While GoT just endlessly spins out some VERY storyline archetypes while pretending to be innovative fantasy PD at the same time uses a few VERY classic literary archetypes to create a very surprising storyline.
But perhaps not for the less contemplative watchers, as the story is in no hurry to unfold at times.
For me, GoT bored me out of my mind within 5 episodes and I am still watching PD.....