Door jamb wider than wall
Consider adding an additional piece of molding outside of the casing to hide the gap. 

The casing (door and window frame moldings) should be mounted parallel to the drywall (not canted in). They can be shimmed on the outside edge using stock cedar shims every 12" to 15". Nail through the shims and then trim the shims flush to the outside edge of the casing.

Then prepare another piece of molding, rectangular in cross section, measuring 3/4 x (thickness of casing + 1/2"). You may be able to find a stock piece, or you could rip it from 1 x material (which is actually only 3/4" thick). The 3/4 edge will face the room and the other dimension will face the shimmed out edge of the casing. The extra half inch is to cover the gap at the wall and to sit forward from the edge of the casing (edges that do not line up flush are said to have a relief, and usually look better). Usually it also looks better to sand the two sharp edges off the face of the new molding, but only on the room side, not the wall side.

This is an example of this kind of casing + extra molding.



While this casing is flat, the same technique works with more elaborate casings.