Child, I love this thread you have started. First off, because special effects can hurt or help a movie. The Matrix Trilogy comes to mind, the first movie was great. Then the Wachowski (sp?) brothers got too carried away in their special effects, and the movies just got worse, until I just wanted to puke after seeing the 3rd one.
As for LOTR, I wasn't bothered by many of the special effects. I think as
Lalwende says they seemed pretty real, especially the Mumakil.
Rimbaud has already pointed out my biggest complaint, the Dead Army green blobs. (Why didn't Sauron just call in the "Ghostbusters?") Here's one that's not a big one, but just kind of looks cheezy. Legolas' dismount from the Cave Troll. But the Cave Troll was great
.