Can't say they're at the same level but then again haven't found any to match.
I still have too many shows to watch, even well known ones (like Breaking Bad), so my list is limited. Of a similar setting to GoT are Rome and Vikings, still on my to watch list.
Black Sails - really good, plenty of swashbuckling, dialectics and nudity. IMO the closest to GoT.
Battlestar Galactica - starts slow and has its annoying moments, but it's really good. It has amazing characters and raises interesting questions in, often times, morally grey scenarios. It also has a dose of metaphysical to it.
The Expanse - space opera set in a not so far away future. I really enjoy the world and setting. The story is interesting too. For some reason I'm not really fond of most characters (or should I say actors). GRRM thumbs up the novels and the show is (I believe) close to it.
The Man in the High Castle - set in a world where the nazis won the war. The world, the characters, the plot and the interactions are all very interesting. It also has its dose of bleak moments on less obvious (or forgotten) implications of nazi ideology.
Walking Dead - hit and miss tv show. However the seasons with Neagan are pretty awesome. That character really is at another level.
edit: just noticed this thread which might be of interest
What TV series should I absolutely watch and why...