•Jamie Lannister, the guy who pushes Bran out of the window in season 1, starts out as a selfish arrogant typical villain. Later in the show he is captured by Brianne, and the two are in turn captured by Bolton men (who were vassals to the "good guys"). Contrary to his normal characteristics, he uses his status as a noble to risk his own safety to save his first captor from being raped, convincing the Boltons that she'd be worth more alive. They decide not to rape her, but chop off Jamie's sword hand as punishment.
You'd expect this to make him hate Brianne, but later in he jumps into a pit to save her from a kodiac bear despite his condition. Around that time it is discovered that the only reason he stabbed the Mad King in the back was because it saved thousands of lives. So he does a dishonorable act that haunts his reputation for the rest of his live to save thousands of others. Meanwhile the "good guy" King deliberately makes Jamie stand guard in his chambers whenever the king cheated on his wife (Jamie's sister). He becomes more than a villain, and is shown to be a somewhat tortured soul who adopts the evil persona as a defense mechanism.
In any case, Jamie becomes a "good guy," an anti-hero. BUT NOT TO BE OUTDONE, as soon as Jamie makes it home to his sister/lover he RAPES her right next to their dead son's body. Now he is back to being a despicable villain. His character continues to bounce around the line of good and evil from that moment forward.•Tyrion Lannister (the dwarf) starts out as an arrogant but entertaining letcher. Later, he becomes the tragic victim/hero who saves the day despite the constant attacks he faces from all sides. He combats the evil King Joffery at every corner. So far the typical unappreciated hero, right?
But then he STRANGLES HIS LOVER TO DEATH and murders his own father! You see his lover felt betrayed by him when he tried to send her away for her own protection, so she lied in court to convict him of a murder he did not commit. Later after he escapes his cell, he finds her in his father's chambers, indicating she was using his father to try to continue her ascension among the nobility. So he promptly stranglers her to death both from rage/hurt and fear at being caught. He looks devastated emotionally after it, showing that he didn't suddenly become evil. But he committed evil nonetheless, and from that moment he could no longer be considered a pure "good guy." Shortly after he murders his father for both sentencing him to die and sleeping with his former lover. He's a murderer now.•Let's move on to Tyrion's father, Tywin. By any measure he's a villain, yet if you examine his motivations and actions themselves, they are always for two purposes: 1- the survival of his family and 2- the greater good. The Red Wedding, where most of the Stark leadership is brutally murdered (including Robb's unborn child), was orchestrated by Tywin. EVIL! You say. But as Twyin put it, how many tens of thousands of lives were saved as a result of the 30 or so murdered at the Red Wedding? Tywin is a total jerk, and he's a murderer, but his intentions have never ever been evil for its own sake. Every evil act he committed was intended to bring about a greater good. And of course he ends up murdered by his own son.
• What about Dany, the presumptive hero who will use her dragons to save the world? She goes around freeing slaves, but she also CRUCIFIED a hundred people. Her dragons have burned children alive. She always has a satisfied grin those times she has participated in burning someone alive (and there have been several instances). Her heart is mostly good, but whether deliberately or not she has caused multitudes of deaths, including innocents.
• And what about the Children of the Forrest, those elf-like creatures helping Bran escape the wights attacking him? Well wouldn't you know that THEY CREATED THE WHITE WALKERS as a weapon of mass destruction to use against humans! Oops, it turns out they couldn't control them. But these supposedly "pure" creatures are the very reason all of humanity is in danger.
• And let's examine the Wildling Thormond Giantsbane. This guy is clearly a hero, helping Jon Snow fight the White Walkers and their Wights, and showing the steadfast loyalty of the main hero's sidekick you see in so many fantasy tropes... Except he also led raids against civilians, murdering even children, in an effort to weaken he Night's Watch's defenses. Good guy? Sure. Villain? I can think of no scenario in which murdering children doesn't make you a villain. He is obviously both. He started as a villain and has changed into a hero.
• Speaking of killing children, what about Stannis Baratheon? He is the hero that saved the Night's Watch from the Wildlings, and who vowed to fight the White Walkers, but he has also burnt hundreds of people alive to appease a god he doesn't even really believe in. What's worse, he even burnt his own daughter alive, standing by while she screamed for help. His wife hung herself that night. Is he a hero? Is he a villain? He is neither or he is both.
• And if we're going to talk about Stannis, we need to talk about his priestess Melisandre. She is the one who convinced Stannis to burn so many people, including his own daughter. She is responsible for many horrific deaths. And yet, she has always been motivated by the survival of the human race. Her black magic, as evil as it is, has always been a means to accomplish a much greater ends: stopping the White Walkers from destroying all of humanity. She's also responsible for saving Jon Snow, a pivotal "good guy."
• Even Jon Snow, the most stereotypical hero in the entire show, has proven to be an oath breaker, and has allowed his emotion to influence an execution he carried out (of Janos Slynt).
• Then you have Theon, the ward/hostage of the Starks. He grows up as Robb's brother, but eventually his loyalties between his family and the Starks are tested, and he betrays Robb. He executes one of the men who raised him (the sword master), and burns two little boys to death as an object lesson in obedience for the people of Winterfell. Later he is captured and brutally tortured and disfigured. He becomes a servant to his torturer, and betrays his sister-in-all-but-name as she tries to escape the nightly raping that Theon's tortuerer subjects her to. But later he is responsible for her escape and is willing to sacrifice himself to make sure she gets away. Later, when he returns home, he rejects his own birthright in favor of his sister's, showing his love and loyalty.• What about Cersei? She helped engineer Ned's destruction, but her motivation was nothing but a mother's love. She committed murder to save her children. Would she have done those things if Ned hadn't stumbled upon the truth that her children were born of incest? No. She would have continued being a somewhat selfish but mostly lawful character. Of course if she hadn't been sleeping with her brother to begin with none of this would have mattered.
• Even Joffery, the sadistic incest born King has a strong sense of duty. As warped as his mind is, he has a sort of real affection for Margery, since she comes across as the perfect duty bound queen. He is clearly only a small line away from pure evil, but even he isn't entirely that way.
• Caitlyn Stark, the good wife of Ned, and doting mother... The woman who punished and hated an innocent child his entire life because her husband claimed him as his own bastard. She even prayed for him to die once, and the boy got sick unto near death. At that point guilt made her pray that he lived, promising to treat him like her own son if the gods saved him, and of course he did survive. Did she honor her promise? Nope. She still treated him with coldness and contempt until the day he left to join the Night's Watch.
• Alliser Thorne, sword master of the Night's Watch, was a bully who especially hated Jon Snow. He had murderous rage toward the Wildlings and treated the young recruits with contempt. But his contempt was for the purpose of hardening them so they could eventually fight for and protect the kingdoms. Was it an act? No, he was a contemptible bastard. But his purpose was always to protect the realm. Good guy? Bad guy? Again, the line is blurred.
• Even absolute scum like Crastor have reasonable motivations for their evil. Crastor married his own daughters and sacrificed his sons to the White Walkers. He was clearly evil. But he routinely helped keep the Night's Watch Rangers alive beyond the wall, and his sacrificed sons kept the White Walkers from killing all his wives/daughters.
• Which brings me to the White Walkers, those evil ice-litch necromancers who apparently are hell bent on destroying humanity. We don't know much about them or their motivations yet, but we do know the first of them was taken prisoner and brutally changed from a man into a White Walker by the Children of the Forrest. Could their motive be revenge? If so, is that strictly speaking pure evil? Until more information is given it cannot be known, but I promise you it will not be a Lord of the Rings Orcs thing.