Quite a few actors from Harry Potter are/were in Thrones...
The actor who played Filch (David Bradley?) was Walder Frey.
Natalia Tena (Tonks) is Osha.
Julian Glover (Pycelle) was the voice of Aragog in The Chamber of Secrets.
The actor who played Will (the guy who Ned beheads) played a Slytherin student in Prisoner of Azkaban. He hands out a lot with Draco in that one.
Finally, Lady Stark herself Michelle Fairley had a blink-and-you-miss it cameo as Hermione's mother in the first Deathly Hallows movie.