Here's a five-minute reel showing how Game of Thrones uses special effects to construct scenes. It's purely visual (no narration), showing how effects are layered into a shot. You can almost hear the director saying, "Can we drop a few hundred more dudes in there? Or maybe an extra boat?" And, boom, more dudes and boats. Enjoy:
Now here's a question: Knowing that it's fake, does it seem fake? Oddly enough, it still looks pretty real to me, even after I've just seen a fake building plopped into the middle of a scene.