That was an amazing episode, much better than the pilot from S1. You can tell everyone is more confident in their roles, and the budget increase can be seen in nearly every aspect. Alan Taylor directed the last two episodes of S1, which were significantly better than the previous episodes in terms of cinematography and pacing. He directed this episode as well, and once again delivered an impressive hour of television. One thing I didn't like about the earlier eps from S1 was that they were shot like a standard television show, and lacked any scope or epic scale; Taylor actually uses some interesting shots and nice camerawork.
I liked how the comet tied the various scenes together as well.
Perhaps my only two gripes, which are book based: I don't like the idea of Robb demanding Catelyn treat with Renly. In the novel she comes up with the idea to do it because she knows Renly, and figures it can be her last service to Robb before she goes back to Winterfell. She gave Robb a lot of good advice, I hope we don't see her role marginalized as he seemingly obsesses over the war.
Also the Littlefinger/Cersei scene...hm. It was well done (outside of Gillen's weird wavering accent, wtf was up with that), I just don't like the idea of Littlefinger putting himself in danger by insulting Cersei. Sure he'd do it in a backhand, subtle way but that was too overt. That being said, I like the fact that he only seemed to do it because she needled him on Brandon Stark/Catelyn; the writers at least seemed to know they had to justify that scene. And I loved Cersei's casual display of power. Oh man, THAT is the Cersei that was missing throughout season one. I didn't like Headley in S1 but so far she has stepped up her performance for S2.
It's like all the actors saw Dinklage win an Emmy/Golden Globe and said "huh, so we can get praise and awards for this fantasy show? Time to get to work!" I love it.