Yep, not a series where it's beneficial to fall in love with any of the characters, for sure. Every time you start to like someone, and root for them to fix the mess that's going on, they usually die pretty quickly (and horribly) after that.
Then again, as the entire saga is called a song of Ice and Fire, I've always been operating under the assumption that most of the stuff going on in King's Landing is meaningless (although entertaining), and the important stuff is tied up in the Wall and Danys (and her dragons). Since the rest of the characters seem content slashing away at each other and/or self-destructing, Jon and Danys are likely to be the only two left standing anyway...
I'm pretty sure Tyrion, Arya, Bran and Sansa are safe too. Maybe even Rickon, if we'll ever meet him again. The rest of the "main" characters, those who are still alive by the end of fourth book anyway, will probably die somewhere along the way.
Since the Red Wedding scene I'm not rooting for anyone to fix the mess. The mess in Westeros cannot be fixed, and whatever was left more or less functioning when Tywin was ruling as Hand after Tyrion was injured, was destroyed beyond repair by Cercei's exponential stupidity. I'm actually rooting for Ironborn to conquer Westeros, because Crow's Eye's insanity is much cooler than anyone else's.