The first time Khal Drogo took her to bed, she was scared and crying, and he responded by ... well, taking a really long time and making her enjoy it. By the time he was done she was as into it as he was. To me, that set the tone for their entire relationship, which is probably an incredibly feminine thing for me to say, but it's true. It made him more than just some mindless barbarian horse lord and someone capable of showing compassion. And to me, his helping her along that first time served to eliminate a lot of her fear, and helped start her on that road to the tough queen she eventually became.
In the movie he was just like "Oh, you're scared and crying. No. Don't cry. Also, bend over." Bam, that was it. It was just a little scene, but a lot was lost there to my mind.