There were quite a few things different in the movie from the the way it was in the books. Nevertheless I found it was much better a book adaption than most movies based on books are.
Some characters were left out (Glorfindel for example whome they skipped to give Arven a bit more to do) and some parts were changed (for example Saruman's death which is likely to be on the extended edition DvD, will be different).
One change that really disturbed me was the dead of Denethor. It is so impressive how he burns himself in the book, holding the Palantir after predicting a triumph of Sauron. In the book it really seems like what Sauron showed him in the Palantir drove Denethor into insanity.
He doesn't appear that insane in the movie, the Palantir is not even mentioned, instead of deliberately burning himself (though he was up to it) he is kicked into the fire by Shadowfax, and for effects sake he runs burning all the way along that rocky projection to fall down there. Really, I prefered the book version there.