I had already mentioned on this blog that I loved the books, and that is also true of the films. First one was great, second was likewise.
I like this story because it's so different from everything else I've read, so Swedish in everything (the scenery, the people, their reactions, the history of it all...) and the films, being 100% Swedish, do not betray the ambiance and what I had imagined in my mind while reading. The film is exactly what you would expect from a good adaptation! I wouldn't advise it to those who haven't read the books though, because the story in itself is complicated and in the film you don't have time to process all the characters and their roles... the story in the books is easier to follow.
The only thing that is a great disappointment is that apart from the film, there is a miniseries of 6 episodes (2 episodes per book), and the films are just an excerpt from this miniseries (same scenes, same actors, same dialogues... only some scenes are cut to fit to the 2hrs movie format. An excerpt in the literal sense...!!) Lucky I didn't get my hand on this miniseries because I would have been really outraged when the film began. As not all the scenes from the miniseries are in the film, I think the next logical thing to do is to watch the miniseries instead of waiting for the 3rd film. As a rule, I don't support the whole "let's milk the cash cow" business, especially as the poor author died and hence isn't getting any reward from this.
In short: books are great, and films are good but miniseries seem better than the latter.