What I love most about this series was that it has a familiar fantasy setting, but it's filled with characters that act rationally...ya know like people. Very very few are totally evil or totally good. It's SO GREAT because you really don't know what is going to happen next...but also you get to explore the character's personalities and how they cope and change with adversity/disasters. I just don't understand why D&D ever wanted to adapt this series if they didn't understand this.
If you look at it logically, however, and not through the lens of pure emotion, you'll realize that many of the changes they made make perfect sense in terms of being within the scope of normal human behavior.
Ellaria Sand: In the books, she wants no part of any conflict because she has lost enough and wants to keep what she has left. She's a Catelyn Stark figure, and that's perfectly reasonable and normal. In the show, she's an Arya Stark figure, which is, again, perfectly reasonable. Consider that Arya brutally murdered a man just for taking a sword for her. Ellaria lost the man she loved, the father of her children, to the most hated family in Westeros...a family that has brutalized Dorne in the past, no less. She wants revenge and doesn't care which Lannister suffers.
Brienne: No one really knows what really went on with Stannis, but Brienne swore an oath to kill him. He is a kinslayer, which in the culture of Westeros makes him reviled. He killed the man she loved, the only man who ever showed her any kindness before Jaime Lannister. Furthermore, even if you consider her oath to Catelyn Stark, it still makes sense she'd hate Stannis. After all, he refused to ally with Robb.
Stannis: Killed his own brother, wanted to kill his own nephew, participates in dark magic on the regular. Shireen's death will occur in TWOW, we just don't know how, but it is still within the realm of his character to burn her despite the fact that people built him up as being the perfect hero. He has said over and over again that his duty is to the realm, not one individual person, and has also shown willingness to buy into Melisandre's schemes almost reflexively.
Sansa: This one is the most hotly debated, but also seems like the most glaringly logical one to me. Sansa has every reason to trust Littlefinger. She doesn't know what he's been up to and has no reason to doubt him. Her own mother, who should have known better, trusted him like a brother. Littlefinger murdered Joffrey, her tormenter, and rescued her from King's Landing. Littlefinger saved her from her aunt, who wanted to toss her out of a tower. Now here Littlefinger is, offering her the chance to go home to Winterfell, a place she dearly misses, and giving her the opportunity to become warden of the North. He is also putting her near Stannis, so as long as she can endure what she assumed would be a standard marriage, she has a good chance of being freed from that marriage relatively quickly. It's a "no pain, no gain" situation for her. She took an offer that seemed perfectly reasonable at the time. I mean, she even has experience being married to someone who "killed her family", considering she was married to Tyrion. She could not have guessed Ramsay would be the way he was. He wasn't even at the Red Wedding. All she knows of him is that he routed Theon out of Winterfell.