This is the final movie in the Lord of the Rings trilogy, and certainly doesn't disappoint like some other trilogies *coughMatrixcough*. The three films had their principal shooting all done at the same time, which lowers their overall costs and keeps a good sense of continuity for the films.
The special effects, first of all, are excellent. While there's a few little things (a reversed shot with smoke flowing back into chimneys and occasional lighting that's a bit off), by and large they're excellent. The most impressive thing about them is the sheer scale. This isn't a small or simple scene; it often includes thousands of digital characters combined with filmed actors and action, sweeping landscapes, and dozens of things happening at once. This is a good reason to see it in theatres; even on DVD, there's little details that you can only catch when it's on a massive screen.
The filming is good, although there are a few evidences of digital smoothing and cutting that can nag at the mind and eyes of a picky movie-goer. There are a few interesting shots, but most are fairly plain and straight on, getting the point across without being dazzling. New Zealand's landscapes provide a great backdrop for everything going on, and there really are some beautiful places, especially up in the mountains. I hear land prices are quite good, what with the orcs warring and everything, so you may want to look into real estate purchases now.
Sound has been said to make 75% of the emotional impact of any production. This is a loud 75%. All the sound effects are very well pulled off, sound appropriate, and are generally loud. The Nazgul screeching was bordering on painful, but in a good way. Most everything has a distinct sound, and it's rare that anything feels out of place. In some of the battles, the roof of the theatre was shaking. The soundtrack fits the movie well, and Howard Shore has done an excellent job, as with the last two films in the series.
Performances all around were good, but Sean Astin as Sam and Viggo Mortensen as Aragorn really dominated the film. They performed their roles perfectly, and came away giving a good picture of the characters. Elijah Wood seemed to be stuck with the same terrified expression on his face through most of the movie, almost Max Payne-style, and it grew old quickly. Ian McKellen, the ever-wise white wizard, had a fair bit of dialogue which he delivered well; my only complaint is he had too much in the way of wistful sayings leading to scene changes. Orlando Bloom, favorite of young teenage girls everywhere, had a few more action sequences (which got cheers from the aforementioned girls) which were quite well pulled off, but his acting wasn't much tested by this film. John Rhys-Davies continued with Gimli's joking performance; he's really too amusing to take seriously, but does a good job at it.
For the old Tolkien fans, this movie stays quite close to the book, although they did have to omit some portions, most notably the taking and retaking of the Shire and the time spent in the Halls of Healing in Minas Tirith. Hopefully some of this will show up in the Extended Edition on DVD. Shelob's attack was left until this film, and much of the time spent in Mordor was shortened for the sake of pacing, and it was a good decision.
My favorite scene would have to be the battle at Minas Tirith. The incredible scope of the battle, with the special effects, sounds, and many close-ups of pieces of the action, make for an exciting scene. The visual effects especially are stunning; the 'oliphaunts' play a big part in the action, and they're entirely created by computer. There's also some wide shots with tens of thousands of digital characters marching on the field of battle, and even the individual actions have the masses warring as a backdrop. It's worth your movie-going dollar simply to watch this on a large screen. It was also intermingled with some smaller events inside Minas Tirith, so it's not pure battle for the whole of the scene, and it keeps it from being dreary or heavy-handed.