We did the Game of Thrones tour by accident. We didn’t realise that the places we were visiting were some of the spots where they filmed the episodes Beyond the Wall in the Season 3 of Game of Thrones. Only found out about it once we were back from Iceland.
There are a few tour companies that offer the Game of Thrones guided tour in North Iceland for a fee, but if you wish to do a self-drive/self-guided tour, all you have to do is pick up a copy of the Lake Myvatn attractions brochure from the visitor centre or the front desk of your hotel and visit the major attractions listed there. You’ll find yourself in most of the Game of Thrones Beyond the Wall filming locations!