ChangesI liked in PJ's LotR:

Prologue (had something like this been in the book, I probably would have read FotR on my first try instead of my fifth)
No Tom B.
No songs
Less history (of the, "I know you're about to do something awesome, but let me tell you where this town came from" kind
etc... (I'm having a hard time recalling specific examples, but most of the stuff that was left out I thought deserved to be left out)

Changes I'm mixed on:

Elves at Helm's Deep - I like that the Elves make one last stand with the humans, but it does seem to deflate the 'we're all alone' element of it
Scourging of the Shire - As everyone else already said, it's a wonderful epilogue that shows how much the Hobbits have grown on their adventures, but I just can't see how it would play in the movie
Death of Saruman - Though the EE versions of the movies are the only ones I care about, I thought it was odd that he didn't die in TTT, since his death was going to feature in RotK, but then it didn't until the EE. Ah, well...

Changes I didn't care for:

Pelennor fields - Man's victory at Helm's Deep was already slightly stolen, I think it was a bad decision to not let Man triumph more clearly at this battle. As I recall from the book, this is when armies of men took stewardship of Middle Earth seriously and proved that they could shoulder the responsibility going into the 4th age. I think the movie really shortchanges this. Especially to the degree that the ghosts just take everything out, but more about them later.
Hmmm... I think there were others, but that is the big one, I guess...

Changes I wish they would have made:

The deus-ghost ex montes. I really think it's cheating that these guys aren't mentioned until the (literal) 11th hour. And since the prologue was added, it seems the perfect time to mention that Elendil & Isildur were ticked that a large army that promised their support chickened out and ran at the last moment. Any kind of foreshadowing would have helped. Otherwise, just pull out a satellite weapons platform and nuke the evil armies from space, whydonchya.
I like stories that aren't too confined. I wish the ring were actually lost for more of the third age. Apparenty, it only had a handfull (pun? I can't quite tell) of owners over the thousands of years. Sauron -> Isildur -> Smeagol/Gollum -> Bilbo -> Frodo -> Lava. I'd prefer to think that its history was not so well known. A minor quibble.
They could have made the whole Eagles vs Eye of Sauron thing clearer so that people wouldn't pat themselves so hard on the back for that whole "Why don't they just fly the whole way to Mt Doom" quip.

Well, that's the best I can do in a single sitting several years after I last watched the movies.