A Game of Thrones question

The main reason is because the plot keeps on turning and turning, as you turn the pages. And for everey character Martin kills of, he creates 2 new ones.

Martin's world of Ice and Fire keeps being interesting all the way.

I'd say it's the main storyline that makes readers keep going even after their favorite characters died. In A Song of Ice and Fire, the characters serve the story, and not the other way around, which is one of the things that makes this series stand out. When you think about it, a lot of other series - espeicially Fantasy series - revolve around one or more main characters. In these cases, the story serve those characters, and that usually makes them "safe". Sure, secondary characters still come and go, but the main characters are pretty much always going to reach the end of the story. There are exceptions, of course, but that is usually the general rule. No matter how dangerous or hopeless a certain situation in the story might seem, you just know that the protagonist will eventually overcome it. Now, that doesn't necessarily make the book less enjoyable, but it does tend to make things predictable in some cases.
And that's exactly why A Song of Ice and Fire is so great! It starts like any other Fantasy series - with likeable PoV characters and so on - but then it totally "breaks the rules". In a single, brutal scene it shows you how dangerous the story really is. No one is truly safe in these books, and that is pretty scary. But the main plot is more powerful this way and that is, I think, precisely why people keep reading even after they had their hopes crushed.
Every remarkable death makes the series more interesting, less predictable and far more exciting.

I'm starting to get a little lost in all the characters. I'm about half way through A Feast for Crows and new character POVs are introduced to be killed chapters later. The subplots aren't being developed as thoroughly as they originally were. Now that the Starks are all but decimated, I find myself losing interest. A Game of Thrones started out so strongly with this family and now I'm not even sure what the focus is anymore. It seems like there's just too much going on. Some of the original characters have disappeared without resolution and that bothers me.