In the series premiere, Jaime and Cersei travel with the king to Winterfell, where Robert recruits Ned Stark to be his new Hand. While there, the child Bran Stark catches Cersei and Jaime hooking up at the top of Winterfell's tower.

Does anyone find out about Cersei and Jaime?

Tywin is still apparently confused, so with a merciless grin Cersei reveals that all of the rumors about her and Jaime (and their children) are true – she will tell everyone and destroy Tywin's vaunted family legacy, even though it will also mean her death and Tommen's death.

Why do Cersei and Jaime sleep together?

Jaime and Cersei have been having a physical relationship long before either of them went to King's Landing, as is revealed in Jaime's third chapter of A Storm of Swords: He could never bear to be long apart from his twin. Even as children, they would creep into each other's beds and sleep with their arms entwined.