More females in lead roles. Arwen would have been far more kick-ass.
Much more lore and family histories introduced along the way.
The 3 books would have been bound to the Hobbit and Similarion and the series extended to 10 or 20 books in all, with the walking bits cut out and replaced with story arcs involving not just the hobbits, but the orcs, Sauron and tribes of men.
Gandalf would have been a worg and pocessed the balrog.