I particularly missed “The Scouring of the Shire” from the movie. In my opinion, the whole basis or moral of the trilogy was directed to that, and it was completely left out ...
I was disappointed (though not surprised) that Jackson left it out; I recall hearing somewhere (one of the cast interviews or director’s commentaries???) that Jackson “didn’t like” the Scouring, and so that was reason enough to remove it.
I think that Christopher Lee ought to have directed; he, at least, would have better respect for the source material (I understand that Christopher Lee was responsible for the movies sticking to the book at certain points).