One of these days. Not yet. I want to have the immersive experience the way I did with Stephen King's Dark Tower series. I read all seven (at the time) novels in two months, in late 2004 and early 2005. Made it easier to follow that large story*. And so far, in several ways, Martin's series is bigger (though not temporally; there's time travel and alternate timelines in The Dark Tower, whereas time in Martin's series works the way we know it does). It's a "read the Wikipedia summaries of the past books before you read the latest book" series, and I'd like to avoid that.
It's one less thing I can talk with people about. "You should have to rage along with the rest of us!" Gerald told me when I told him this. Oh, I'll rage about some things. Other things. Sometimes even mild-seeming me wants to rage about stuff. (Ever read Poppy Z. Brite's Liquor books? Outwardly I'm G-Man, inwardly I'm Rickey. You know more now. Also, try reading the Liquor books.)
I probably won't hold this hard a stance about David Gerrold's War Against the Chtorr science fiction novels. I've found the series' first four books at used-book stores. Here's my one criteria for starting to read it: that Gerrold actually finish and announce a firm publishing date for the fifth book. If, say, it comes out in 2015, that would have been 22 years since the fourth book, from 1993 -- when I was in college and River Phoenix was still alive. One time last decade my LJ acquaintance mspurrmeow and her husband visited me to install a computer, and when they saw some of the series on my bookshelf one of them said "Be ready to be really angry when you finish." Might be easier to deal with that anger if there is at least one more book. Whether Gerrold manages to get all planned seven books done and out is still a question for the ages.
I'm also not going to hold to that standard for The Canterbury Tales, because death.
* A little serendipity: the number 19 is very important in The Dark Tower, and one night in early 2005 I was riding the #19 bus home from work, and looked up from the book to see the Oregon lottery advertising a $19 million jackpot. It might even have been January 19th.