A report from George R. R. Martin’s book signing in Estonia indicates that HBO is now looking to conduct remote filming in Tunisia, in addition to the principal photography in N. Ireland. According to Martin the pilot is set to film in “October 2009 in Northern Ireland and Tunisia”. Originally it was rumored that they were looking at Morocco as the remote shooting location. Of course, the assumption here is that these remote locations will be used as backdrop for the Dany scenes.
Winter Is Coming: Not sure if the difference between Morocco and Tunisia is that great. In fact, it is possible that the original rumor was off-base and the source cited the wrong African country and HBO has intended to film in Tunisia all along. Tunisia has a pretty important place in film history (it doubles as Tatooine in the Star Wars films), so there might be a better infrastructure there set up to handle a film or TV production. Either way it seems like Northern Africa is going to be the real-world stand in for most (if not all) of the scenes that take place across the Narrow Sea.
UPDATE: Uhh, nevermind about all that. It seems that the original rumor was correct and this one was the one that got its Northern African countries mixed up. Martin has confirmed that the filming will take place in Morocco and yes, it is going to be the Dany scenes.