This is not comprehensive by any means and is based on my own limited knowledge. Many times I see multiple historical figures in a given character; I just boiled this list down to their core counterpart. Not all of the comparisons are Wars of the Roses-related; figures from the Tudor period are here as well. knightbusdriver — and I collaborated this list a lot and she made the absolutely beautiful graphics to go with it. Spoilers for the whole series, especially beyond the show.
Both were great warriors in their prime, overthrowing their insane predecessors Henry VI and Aerys Targaryen, respectively. Kingship was too good to them however, as they ate, drank, and debauched their way into early graves. Both married women who were reviled by the people.
Married to kings who strayed more often than were loyal, both women were considered stunningly beautiful and simultaneously hated. Both worked and schemed tirelessly for their children and their birthrights, distrusting their appointed Lord Protectors after the early demise of their husbands.
Both were devastatingly handsome warriors, nigh untouchable under their gold sigils, the sun and the lion respectively. While Jaime's relationship with Cersei is inappropriate due to its incestual nature, Edward IV's marriage to Elizabeth Woodville was damning politically.
Based in the popular interpretation of Richard III's appearance, Tyrion outwardly resembles the "hunchback king." Both were accused of murdering their nephew(s) for political gain. Shakespeare's Richard III and Tyrion are skilled at talking their way in and out of things, but that is where the similarities end.
Based in the Richardian interpretation of Richard III, both served as protectors of the northern parts of their realms. Both were loyal to their kings; their brothers-in-arms, literally and figuratively. These loyalties were to a fault however, and they lead to their downfall, with the widows of the kings fighting just as hard against them.
Both lost their "traitorous" parents at an early age and were raised in the courts that saw to their parents' execution. As a result, both had to learn how to navigate those waters and survive. Both were hated by the sitting queen and both had dubious, if crucial, relationships with men associated their mother figure(s).
Both were exiled across the water from the throne they saw as their birthright. Both intended to regain their throne via conquest under their banners with red dragons. With the current state Westeros is in, Daenerys will be able to regain the Iron Throne after the other houses have exhausted their resources, just as the civil wars decimated England enough to make Henry's grab for power easier. Finally, Aegon Targaryen is the better claimant to the throne, and if Daenerys marries him, it would be similar to Henry's marriage to Elizabeth of York.
Both were players in their respective courts who guide the naive, red-headed princesses through dangerous waters, but with other intentions in mind. All of this goes on while still in relationships with the girls' mother figures; Thomas was married to Katherine Parr, Petyr was in love with Catelyn Stark and married to Lysa Arryn.
Both had great expectations in marriage, both were bitterly unhappy with the men who became their spouses. The radical actions of their fathers drove them to fanaticism; Mary saw her legitimacy revoked by her father, while Lysa's terminated pregnancy allowed her to be her father's pawn. Both experienced extreme jealousy towards their younger relatives with their husbands.
Both queens famously married multiple times. Upon their arrival on the stage, they outshone all other queens around them. Both were imprisoned by queens who feared the potential power that they wielded. Dissimilarly, Mary famously made rash decisions while Margaery has political acumen to survive.