Best Level Ever: Helm's Deep, Minas Tirith, The Black Gate, Edoras, Isengard (Good side)... The list goes on and on. It's more subjective with the Black Gate & Helm's Deep as they are both well known for being very difficult and frustrating.
Evil Is Cool: Admit it. You wanted to play the evil factions. And who could blame you? The bad guys have some of the coolest stuff in the games — Isengard gets vast legions of Uruk-hai (and the chance to control Saruman); the goblins get to spam hundreds and hundreds ofexpendable troops, paving the way for their dragons; and Mordor...well, they have legions of orcs, trolls, oliphants, and even the Nazgul.
In the second game, you can control Sauron.
The Rise of the Witch-King takes this even further, with Angmar being the focus of the expansion. Angmar gets...some undeniably awesome stuff.
They Changed It, Now It Sucks: Removing Rohan as a faction quickly became this to many since Rohan was a well liked faction and many were annoyed that they just had their Cavalry added to Gondor and a few heroes likewise.
Likewise, the removal of the "build plot" funcionality was met with a degree of criticism.
Trade Snark: For some unfathomable reason, the default names for the games' installation folders all have trademark signs in them. Even the Start menu / desktop shortcuts have trademark signs in their names.