In the game, you win or you die. Better leave a good-looking corpse.
S1E1 "Winter Is Coming" - Cersei and Catelyn
Right out the gate we've got two very different styles. Cersei's King's Landing cloak is long and meant to be skimming over marble floors, not dragged through Winterfell mud. Catelyn's cloak is an appropriate length for the North and arguably more beautifully embroidered.