Glad you liked it! We LOVE it. How old is your oldest? Valerie and I debated a lot over taking Josiah (6), but reasoned that he was quite familiar with the story, and we could cover his eyes about three times. He loved it, has seen it twice now. (He did cover his ears a number of times the second time; that's what Josiah does when something gets a bit scary. Next step is to watch it from behind Dad.)
Dan
Matthew is six (click on my name to see a picture). He thoroughly loved it. He's listened to the Hobbit and FOTR on audiocassette, the BBC radio version and was familiar with the story as well.
Prior to taking him to see the movie, I downloaded the moria scene and we watched it slowly together. When it happened he was familiar with it and it didn't frighten him that much. Really, there was not a whole lot of blood, just very fast violence that ended pretty quick.
I was describing to my husband last night the part of the ROTK where the orcs catapult human heads into the city during the seige of Gondor. I wondered aloud how they were going to manage that bit of cinematography!