"We've all read this story a million times when a bunch of heroes set out on adventure and it's the hero and his best friend and his girlfriend and they go through amazing hair-raising adventures and none of them die," Martin told the magazine. "The only ones who die are extras."
My objection here is to the way GRRM doesn't seem to think framing or selection matters in storytelling, or that it's naïve, or something to that effect. His answer to the romanticism of fantasy (something that had actually been pretty heavily deconstructed by the time he came along) was to make it impossible to invest ourselves emotionally in anyone in the story, because it's even odds that anyone could get killed at some point. At that point you don't have drama; you have soap opera at best, and a dead pool (lowercase, haha) at worst.
There's also this in the comments:
[GRRM's comment] also glosses over the fact that almost every major character that dies does so at a crucial point in their story as things were just getting interesting. To me it feels like "cheating" from the opposite perspective. Instead of having to come up with an interesting to conclusion to any of the narratives, they just kill them off and start a new one.
Again, I've long believed the core problem of Game of Thrones is not the subject matter, but the framing and the approach. I could see another version of Thrones where Martin picks one of his storylines, develops it all the way through to the end as a single unit, then writes another book that is another of the storylines from that batch, or maybe the same events from the perspective of the people on the other side of the fence a la The Alexandria Quartet. This way, he could iterate through all of the stories that need to be told and do them independent justice.
But everything I've seen tells me the overall plan was less important to him than the soapy frisson of introducing people and making us wonder when and how they're going to die.