I can’t even remember what was in/out of the theatrical releases anymore…
Like:
The nobility, the seriousness of the films. There’s nothing childish about them, unlike the books which are written in a tone that I can’t stand.
That even “secondary” characters were multi-dimensional enough to have personalities that were shaped by events that happened before the movies (the 'Mir Brothers, for example - I thought it fascinating that a character in a fantasy film would have daddy/sibling-rivalry issues).
That, in the moment of truth, Frodo failed.
That Frodo couldn’t be comfortable being a “normal” hobbit - not after all he’s seen and gone through.
Despite the carnage, these are very moral films… thematically, there is very little in them that one can find objectionable.
I really like the Smeagol backstory and how it was handled.
Dislike:
“Daddy” going crazy and attempting to burn Faramir at the end of RotK. I’ve seen enough movies to know the guy isn’t going to be burned alive, so found the resolution to be rather predictable.
When Frodo and Gandalf meet, their mutual laughter seems extremely forced.
Saruman is supposed to be some all-powerful wizard, right? Well, why did he refuse to try a single spell during the Ent attack? You’d think he’d cast a level 40 fireball spell or something. 
Unless Gandalf can fly, how the h*** did he fall down, catch up to his sword, then catch up to the Balrog?
Helms Deep/Minis Tirith: Which battle was which? Having the final two films climactic scenes deal with large-scale battles in two cities that look a lot alike was rather… anti-climactic… in RotK.