There's definite value to making a series of films at the same time: the quality and the "look and feel" is consistent, and the passion of the people involved, if present in the first film, is present in all of them. Most important of all (unlike in The Matrix or even the Star Wars series), it shows that the creators have thought through the implications of their story arc, rather than just generating sequels due to public pressure. In the case of The Lord of the Rings, it probably didn't hurt that the plot was based on a famous well-established book.
And this is how it ends. In The Return of the King, the filmmakers tell a fairly simple story: how the two Hobbits, Frodo Baggins (Elijah Wood) and Samwise Gamgee (Sean Astin) finally return the powerful ring to the fires of Mount Doom. They take a well-paced 200 minutes to do so and every minute is worth watching.
The best character throughout the whole series of films for me was Smeagol (voiced Andy Serkis) whose history as he becomes the Gollum is showcased here, as is the corrupting nature of power. This is how the movie starts, and as everyone knows, it ends with his death. Perhaps the best lesson from this film is that Frodo is a potential Gollum, and Gollum is a potential Frodo.
The graphics were absolutely perfect. The final epic battle is a visual spectacle. And as has been the trademark in this movie series, the are interspersed with poignant scenes that are irrelevant to time and place, when viewed from an anthropomorphic perspective. Further, the visual scenes themselves a great mix of live action with computer-generated images which blend together seamlessly. The most anticlimactic moment had to do with the defeat of Sauron, which in the end I thought happened a little too easily. I would've liked to see him go head to head a little more with Frodo's friends.
No set of words in a review can do justice to The Lord of the Rings movies, save to say that it's best watched on a large screen with great surround sound so you can see for yourself why.