2005:
Lion, the Witch, and the Wardrobe
Brothers Grimm
Charlie and the Chocolate Factory
Harry Potter: Goblet of Fire
Beowulf and Grendel (Gerard Butler)
2006:
Eragon
Tristan and Isolde Pirates of the Caribbean 2
Pan's Labyrinth
2007:
Stardust
Bridge to Terabithia
Beowulf (with Angelina Jolie)
Harry Potter: Order of the Phoenix
Pirates of the Caribbean 3
The Water Horse
Tin Man (TV)
Dragon Wars
National Treasure: Book of Secrets
Enchanted
Night at the Museum
Evan Almighty
Mr. Magorium's Wonder Emporium
There are probably more that I can't think of. The point is, there's a lot of competition out there in the big-budget SFX-fest fantasy genre. Golden Compass in my opinion wasn't that good of a movie. It was boring, preachy, and disorganized, even if it was visually dazzling. Also, I think people are getting saturated on fantasy, to the point where what they see has to be pretty good. They're not going to waste money on mediocre fantasy.
A good movie needs a good story, well told, with characters that you actually care about. Or at least a couple of those things, anyway. So many Hollywood movies really don’t have anything to offer other than special effects, car chases and big explosions.