Actually, I have read 'em all (didn't list all of them though). In fact, I don't think anyone really knew where the story was going to end. After all, once it was announced that the Scouring of the Shire wasn't going to be in the movies, all bets were off as to the official ending.
Personally, I think RotK would have been stronger ending it at the Grey Havens. I understand Jackson's deference towards the books was the reason to end it back in the Shire, but the boat sailing off was a much more powerful image to end the movie on.
I thought The Two Towers was a better film, especially with the extended scenes....though the single worst scene in all the movies is in TT IMO (the Warg fight, which you can tell wasn't planned very well - something confirmed by the guy who headed that film crew in the additional commentary) AND the deviations from the books (including the silly Ring to Osgiliath bit).
Then again, Theoden and Eowyn are two of my favorite characters in the books and the movies, so that has something to do with it I'm sure. Not to mention the incredible battle at Helm's Deep (far better than the one at Minas Tirith) and the focus on developing virtually every single major character.