Creative writing can take liberties with grammar. You are correct that the first sentence should end in something like a colon, but Martin writes how he wants to write.
I'm sure something similar exists in your native language -- when you see someone write using an unusual grammar, how does that change the way the sentence feels to you? It's the same in English.
If it was a different writer, I would probably go into more depth about how the first sentence changes the character of the paragraph ... but the truth is Martin isn't that poetic of a writer. He writes good plots, people, and dialogue, but the individual sentences are nothing special.
For example, look up Cormac McCarthy, particularly "The Road". He has an unusual style, but there at least the deliberate lack of punctuation has an actual purpose.
The only way to learn about all the different ways English grammar can be stretched for poetic/prosaic effect, you really just have to read a lot of English literature. Keep in mind writing styles have changed considerably over the centuries, and so a novel written in the early 1800s like Jane Austen's "Pride and Prejudice" is going to have a very different style from something written in the 1950s like John Steinbeck's "East of Eden", and both are going to be different from more contemporary novels.