Okay, I'll start
Fantasy novels are usually one of three types: They are novels about our world but with fantastical elements such as magic, elves, etc (Eg: Eoin Colfer, Artemis Fowl Series). Or, they are not about our world at all, but about somewhere else, another universe where things do not work the same way as our own (Eg. Robert Jordan, Wheel of Time Series). There are also the fantasy novels where a character from our world goes to another world (Eg. Terry Brooks, Magic Kingdom of Landover Series).
Now when you read the Golden Compass, you immediately sense that this series is the kind that is about another world. Lyra's world may bear a slight resemblance to Victorian England, but we realize that it simply is not our world, nor is Lyra of our world. She and Pan clearly belong in that other world.
So what is cool about the Subtle Knife, is you open it with certain expectations, having read the Golden Compass. You left Lyra on the edge of a cliff, about to step into another world in the sky, and suddenly, instead of with her, you're in regular old England, walking around the suburbs with a boy named William. And I don't know about the rest of you, but I spent the first couple of chapters going "What the hell?"
I like it when a book can surprise me like that. I had thought that the series was the kind that is about another world, and then I realized that it is not. It's kind of neat the way the series spans both worlds (or all worlds) and brings them together. I really loved the sudden change in point of view. Seeing Lyra through someone else's eyes. And the first book just gave absolutely no hint that this was going to happen.
I devoured these books the first time I read them, and while I must agree that they are not nearly as exciting the second time around, I am still enjoying myself. And I think Philip Pullman is amazing. I wish I could write like him. His plot is so wonderfully woven.