Hhmm...these are just a few:
Aragorn -- he was ready to assume the Kingship from the get-go. Anduril gets reforged before he leave Rivendell, and he carries it during the rest of the tale.
Boromir -- we see more of his good side in the movie(s).
Arwen -- she doesn't really appear at all in the tale, except at the scene in Rivendell, at the end, and in the appendices. In the movie however he took Glorfindel's role and horse. I can't believe no one has mentioned this yet.
Gamling -- in the books, he is Gamling the Old, in charge of the garrison at Helm's Deep, and died there. In the movie he became Theoden's first and second Marshal. I can't believe he came out as more important than Eomer in the movie.
Faramir -- much more noble and truehearted in the books, though I understand and actually liked his changes in the movie. No complaints here.
Denethor -- sort of. He isn't completely gone in grief and madness when he is 1st seen in the book, but he does get there. And in the book, his madness has mostly got to do with the Palantir, in the movie however, we didn't see him having the palantir, though we probably will in the EE.
The Ents---in the book, they already knew what was going on, they already knew that the trees near Isengard are being hacked down and destroyed, they did had the Ent Moot to decide what exactly are they gonna do, when are they gonna assault, etc. In the movie however, they didn't had any clue whatever happened to those trees, they had the Ent Moot to decide whether or not they are going to fight or not. It even took Pippin to trick Treebeard to go southwards to pass through Isengard so that Treebeard could see those destroyed trees.
Legolas ----uuhhh, in the book, he's more low-profile, he's a great warrior but not too over the top. Legolas in the movie shoots arrows like a machine gun and never seems to miss, they made him alot better for the movie in the point of view of the others. I still like him better in the book.
Prince Imrahil was left out of ROTK:TE. he brought the Army Of The Silver Swan from Dol Amroth, in the South of Gondor to the aid of Minas Tirith and the retaking of Osgiliath.
Gimli was portrayed very comical throughout the movie, though there was some seriousness in him when they were passing through Moria and The Paths of the Dead, in the book he has many more moments of being grave or serious but his character turned out great in the end anyway, so it wasnt so bad in the end.
uuhhh, I know this is Exa's favorite..LOL...
But the dead in the books are grey, not green.
In the book, the Hobbits went first to Cricket Hollow and they had Fatty Bolger with them. I also liked that fellow, I kept on wondering at the rest of the tale what if he went along with the 4 Hobbits and never went back home, would he be one of the Fellowship too and be one of the heroes at the end. At the movie however, he was completely ditched out.
Farmer Maggot invited Frodo, Sam and Pippin for tea after Maggot sent a black rider off his land.
Those are all I could think of at the moment.