Sorry, wanted to say more but accidentally posted! ParisMaman, it's interesting that you bring up the religious thing because what I've read about them so far (on Amazon.com) has mentioned that people feel there is an anti-religious thing going on in them, anti-Christian I read in fact, and there are people very upset about that. As far as I can tell, from reading only the first book, there's definitely an anti-organized religion theme. I would say it's rather pro-pagan, if you take into account the fact that the witches and gypsies seem to be the coolest morally, and what with the animals and nature being treated more or less reverentially. There is definitely a distaste for the bureaucratic, entangled with governing, aspects of organized religion.
In some ways I think these books beat HP, but I still love HP and feel that in other ways, HP provides what the Pullman books don't, for example, a sense of humor. HP is just lighter, and has a sense of silliness. The Pullman books are deeper though, IMO.