I really like these movies. I still think the first one is the best one. I get real pathos in that one, especially when Boromir dies. That made me cry when I read it, and I cry again every time I see it in the film. LOVE that scene.
One of the things the books nailed but the movies simply cannot recreate is the sense of finality of it all. Tolkien often threw in a but of unnecessary, but very moving comments that amounted to "and they would never see this place again." You got a real sense that something grand was ending. Now this annoyed me too. I don't want my magic world to become a "world of man". That sucks! I live in that world already. But Tolkien did it very well and really captured the ancient gold/silver/bronze approach to history. The movies had some of that, but it didn't feel as final to me.
Also, if we are talking about missing scenes that I would have liked, I'll go with the Hobbits retaking the shire from Saruman's orcs. In the books, that was a really cool moment, where freaking hobbits have become true warriors and come back and lead a rebellion. I loved seeing Merry and Pippin do that. And they were a bit bigger than other hobbits, thanks to the ent draft. So these orcs are all "what the hell? We're getting beat up by hobbits!?" So cool to my 14 year old mind. I also enjoyed the brief tales of Legolas and Gimli traveling together in their later years.