1 Makes Incest seem natural
Game of thrones has main characters who commit incest. As people keep watching the series they get used to incest and might end up considering it natural.
2 Makes religious people seem like lunatics
Almost all religious people in game of thrones are portrayed like mindless lunatics who harm others because of their false religious beliefs. As people despise those religious characters in the show they are more likely to hate real life religions.
3 Too much nudity
The show has too many sex scenes and too much nudity. The show isn't by any means appropriate for kids or family.
4 Makes homosexuality seem natural
Some people don't like the fact that the show has lots of homosexual characters, especially main ones. According to some religious people who are against homosexuality watching the show over and over could make a person accept homosexuality as a natural thing.
5 Sexual violence
Some people wanted Game of thrones to be banned because of sexual violence. Those people referred to Sansa's rape scene.
6 Denies afterlife
Some religious people don't like the show because it denies the fact that there is any kind of afterlife. When dead people were brought back to life in the show and were asked what they saw they replied saying that there was absolutely nothing. (See Why Game of Thrones is boring?)
When the Turkish army banned game of thrones they mentioned many reasons including pornography and racism. Most black people shown in the show were either slaves or pirates.
8 Gets people attached to immoral characters
The show usually makes people get attached to characters who have done so many bad things. The fact that those bad people sometimes do good things can force some viewers like them. This might result in messing up the definition of what's right and wrong in the viewer's mind.
9 Programs the mind in a bad way
According to psychologists the mind can get programmed if the person kept getting exposed to the same belief system over and over especially if he liked this kind of exposure. Game of thrones can thus change a person's belief system slowly and gradually. (See Why some people don’t like Game of Thrones?)