I first want to say that I was interested in seeing and reading "The Golden Compass" long before I heard anything about its anti-religious sentiments, as I had heard that it compared favorably with C.S. Lewis' Narnia books and the works of Tolkien, of which I am a fan. So this is not something I did just out of rebellion. Also, I have not yet read any of the books yet, so my comments will be restricted simply to what I saw last night in the movie.
There was nothing objectionable about it, well, other than the fact that it just was not an great movie. It will excite little kids and teenagers but once you have seen The Lord of the Rings and The Chronicles of Narnia on screen, this will be no revelation. So if you don't like it, then don't like it for the same reason you should not like The Da Vinci Code (book or movie), not because of its ideas or content, but because its poorly written and executed on screen.
As for the movie's ideas, it has some interesting ones. You could miss the anti-religious rhetoric or some of the invocation of the authoritarian nature of Catholicism, if you are the single person on the planet who has not received an e-mail about how evil these books and movies are. I went in there looking for it and so I found it, but it was far from unmistakable. Furthermore, the Catholicism that it invokes is hardly Pope John Paul II's version, but more the Spanish Inquisition and the persecutors of Galileo. Other than that, no mention of deity (of any kind, unless you count the allusions towards the "Authority," which could be God or the Magisterium- it is never made clear who is being referred to). I am aware that the books are supposed to be more virulently anti-religious, and I will see for myself.
The movie's cosmology is also interesting, if a little muddled. Every human has a companion creature which holds their soul, called a "daemon" (but pronounced predictably as "dee-mon," which I am sure is getting the evangelical hackles up, even though a "daemon" is a Greek/Latin word referring to supernatural beings (which can be good or evil) that are intermediate in level and power between gods and humans, whereas "demon" is a Judeo-Christian usage that is reserved solely for malevolent spirits. Do your homework! Sorry for that etymological aside, but I feel that making that particular word into a controversy is petty, since it is so easily explained. Anyway, back to the cosmology. "Dust" is a substance of unknown provenance which allegedly infects children as they grow up and enables them to choose to do evil. Dust comes in contact with humans through their daemons as they grow up. The Magisterium seeks to sever the human-daemon connection in order to prevent a new generation from being "infected" with Dust, and thus being able to choose to reject its teachings. The Dust issue is a little confused, mainly because at times it seems to fit the Catholic idea of original sin, except that kids don't get it until they grow up, and at other times it seems to fit the Mormon idea of agency, except that kids don't get it until they grow up. So as I said before it is all a little confusing since Dust does not fit neatly into a little allegorical box. I find it ironic that Mormons are so up in arms against the movie mainly because it seems to be a defense of agency (one of the characters refers to the coming war with the Magisterium as a "war for free will itself"- sound familiar?). The plan of the Magisterium seems to be to deprive humans of that capacity to choose evil, which was Satan's plan from the beginning, right? Of course, the books might clear this up, but that will have to wait.
Last week, a substitute Sunday School teacher in my ward (with whom I am friends and whom I generally think to be someone with a reasonably open mind) got up before class and went on a tirade about how nobody should see this movie or read the books. I was shocked to hear about this (especially from her) even though I had received the standard e-mail warnings from friends and family. I remarked to my wife last night that there would be many people who would not go see the movie or read the books because they genuinely feared losing their beliefs or harming their kids. However, there would be another segment of the population who would not go see the movie, even though they really wanted to, because they did not want other people at their church to judge them for having done so (I can think of a couple of my friends who might fit into this group). I imagine that happens both with Mormons and non-Mormons alike, but nevertheless I think that Pullman would find that both somewhat ironic and self-affirming.