One of the major Game of Thrones fansites has compiled a full list of directors for the 10 episodes of season 2!

Westeros.org has provided this very helpful list which breaks down the season 2 directors:

Episode 1: Alan Taylor (confirmed to be present in Dubrovnik for episode 1 scenes)
Episode 2: Alan Taylor
Episode 3: Alik Sakharov
Episode 4: David Petrarca
Episode 5: David Petrarca
Episode 6: David Nutter
Episode 7: David Nutter
Episode 8: Alan Taylor
Episode 9: Neil Marshall
Episode 10: Alan Taylor

You can see that returning Alan Taylor (Mad Men, The Sopranos), who is set to direct the upcoming Thor sequel, will direct a total of four episodes, while David Petrarca (Boardwalk Empire, Dawson’s Creek) and David Nutter (The X-Files, Supernatural) direct two apiece (interestingly back to back). Neil Marshall (The Descent, Doomsday) will direct episode 2×09, which is the episode written by George R.R. Martin surrounding the events of Blackwater. Alik Sakharov (Rome, Brotherhood) will also be directing an episode.