I most strongly remember the anticipation of Jedi coming out. I remember seeing the first 'revenge' trailer in the theater- it was so exciting. Then, there came the announcement of the name change. I remember seeing publicity photos before the film came out- Luke in his black Jedi outfit, which worried me because I thought that meant he was turning to the dark side. I remember seeing photos of the unfinished Death Star and thinking that it was the DS from SW- and this is what it looked like now after being blown up. :-P
I saw Jedi on opening day, and I don't remember a lot about the theater except that nearly every seat was filled. For most of the film, I was very worried that Luke was going to die at the end.