In the case of Cersei and Jamie's incest, I explained it is because of the spiritual bond they have. Game of Thrones is all about house lines and incest occurs usually when families are trying to protect their lines.

in a show where a woman can birth a shadow demon from nothing that can kill people, characters can nest in a burning pyre and emerge with dragons, people can put themselves into animals, and there are people wearing faces of the dead.... The incest really isn't a big deal.