Important choice #1
The first important choice you have to make in the first chapter of the game. It's your call who you want to help and rescue. Regardless of your decision, nobody will die, and the only consequence of this choice will be the conversation with the one you've chosen at the end of this episode.
Important choice #2
The second consequential choice, happening at the beginning of the fourth chapter of this episode. You have to decide, whether you go with Lord Tyrion, or stay faithful to Margaery. Regardless of your choice, Margaery will be furious with you, but you won't be able to see the consequences in this episode.
Important choice #3
The third important decision can be found in the fifth chapter of this episode. You muse choose to let Britt live, or to murder him. After your decision, Finn will run to your location, so if you've made a promise with John Snow, it's better to let Britt live.
Important choice #4
The penultimate decision you have to make in the fifth chapter of the game. You have to decide, whether you oppose the uninvited guest, Gryffin, and show everyone around that nobody will kick you around, or to swallow your pride and be humiliated. Regardless of your decision, you won't see the consequences of your choice in this chapter.
Important choice #5
The last important decision in the game is associated with Mira and the decree issued by Tyrion Lannister. You can either keep it or burn it. Keeping the decree will expose your connections with Tyrion Lannister (after he was accused of murdering king Joffrey), and burning it will force you to find another way to help your family. Regardless of your decision, you will learn about the consequences in the next episode.