I've read all three and really liked them. Read them back when I was in elementary school, when Golden Compass (or Northern Lights as it is properly titled) was a YRCA. I owned the set once, but someone borrowed it and never returned it, and I don't remember who it was!
An interesting thing is that Pullman really seems to be anti-God in the story. That is, from reading the novels, I get the sense that Pullman believes that there is a God, but hates him. It's kind of odd, and maybe my sense is wrong there.
My favourite thing about the novels was learning the final forms of different characters' daemons. I really enjoy little character revelations like that.
Some of my favourite characters are Tialys, Salmakia, and their mounts.