"You've got witches, dragons and magic in this weird, unreal world and yet, as an audience, you kind of throw yourself into it and accept this fantastical backdrop. But in the middle of it is an incredible human drama with real people who are faced with strange stories, and that's why people have taken to it."
Shot in six different countries and boasting one of the largest casts of any television series, Cunningham admits struggles to take in the full scope of Game of Thrones' multi-faceted plot. "It's nice to just be a part of it," he says. "I don't know how [Breaking Bad star] Bryan Cranston was able to put up with it because he is Breaking Bad. With us, we're all part of this vast tapestry. We can do lots of other things on the side and it's fine as it's not all riding on our shoulders. We're also fans of the show as well as participants."
The Irish actor's character has proved to be one of the most resilient, surprisingly surviving the harrowing sea battle at the conclusion of 2012's second season before making an unexpected return last year. "Davos is a survivor, at least I hope he is," laughs Cunningham. "That's why I love watching the show, never mind being in it. People you don't think will die are killed right before you. Then some of the people - such as in my case - you thought were dead, turn out to still be alive. That's a testament to the fantastic writing and the sheer unpredictability of it all."
Having ruthlessly pushed young Bran Stark off the top of a castle turret in an attempt to conceal his incestuous affair with his sister Cersei Lannister at the startling end of the first episode of season one, Jaime Lannister initially seemed beyond redemption. However, thanks to the urbane charm and dashing good looks of Danish actor Nikolaj Coster-Waldau, it is hard not to start warming to the treacherous but charismatic Kingslayer, even when he is about to stab his allies in the back.
"He's a great character and even when he does terrible things, there's an honesty about him that you can relate to," says Coster-Waldau. "Yes, he does sleep with his sister and for most of us anyway that is a pretty disturbing thought. But you can't deny the fact that he loves her and it's one of the few true love stories in this world, at least it is from his point of view. With Bran, it was a horrible thing to do and he wouldn't make any excuses.
But he would definitely defend it by saying 'if this boy had told anyone what he saw, this woman he loves and her children would all have been executed'."
With their scripts drawing on the second half of A Storm of Swords - George R.R. Martin's third instalment in the seven-part A Song of Fire and Ice - producers and co-writers David Benioff and Daniel Weiss have promised that this series will be considerably more thrilling and fast-paced than its predecessors.
Game of Thrones season 4 launched on Soho on Monday. It encores on Soho tonight at 9.30pm. Catch the second episode tomorrow at 8.30pm.