I've read all the books several times, and seen all 3 movies in both extended and theatrical (in theaters and at home) several times.
Out of the 3, i think that the Fellowship of the Ring was the best movie. It had the best cast out of the 3, and the compactness of the story really helped the movie. I'd say that I'm most invested in the story when watching Fellowship.
I probably get the most enjoyment out of the the Two Towers though. And honestly, that's mostly due to the battle at Helm's Deep. I mean, come on, is that not one of the best fantasy battles in the history of Hollywood, or what? I think it's the most fun to watch. Also, I'm a music person, and I really enjoyed Howard Shore's score for the second one the most (though number 3 comes in a close second).
Usually when I watch the movies, I do them in order over a short period of time (2-3 days). So, by the time I make it to Return of the King, I'm usually in a "come on, let's get this the fuck overwith" kind of mood. That being said though, I really do feel like Return of the King is bloated. I mean, shit, you've got epic battle number one at Minas Tirith. And then they have to go to the fucking gate. And you've got Shelob and then Gollum at Mt. Doom. I mean, seriously, there's just way too much shit going on for that movie to do in a good way. By the end, it's hard to not be left yelling at the screen "FUCKING CROWN HIM ALREADY!!!!!" Do I think Return of the King is a fitting ending to the series? Yes. It's hard to not end a story as epic as the Lord of the Rings without getting a bit bloated. And if you've read the books, you really understand that. So yeah, it's my least favorite of the 3.
As for the bloating, I thought Peter Jackson did the best he could have done with how he divided up the books and removed certain aspects of the books for the film. As great of a writer as Tolkien was, he did not know how the end The Lord of the Rings. From what I understand, and this could be waaaaaayyyyy wrong, but this was originally a story for his children, and he just kept tacking on shit to the end because they didn't want it to end. (If I'm wrong on that, let me know, i'm just too lazy to look it up). But really, the part where the Hobbits go to the shire and have to kick ass is completely unnecessary, and I'm glad it was left out. If you take the time to read the books, then you might have a little more appreciation for the way Peter Jackson handled things.
and back to my job.