Now, I've never read any of Thomas Hardy's works, so I can be no judge on how faithful this movie was to his novel. It seems many people consider it a very faithful adaptation.
So, I must just not be a Hardy fan. I found the story senselessly depressing. And not just realistically depressing, but depressing in a contrived and very manipulative way. (Is that what Hardy's known for?)
One scene that quite disturbed me was the discovery of the children. Not just the content, but the way it was handled seemed very heavy-handed, contrived and kind of slip-shod. It just seemed like pointless and at the same time almost laughable horror, with the short time passing between when Sue tells Jude Jr. "we are too many" and when the boy "does the deed". And the note was just too much. (I'm curious, does that whole scenario develop much the same way in the novel?)
It also didn't help my viewing that, in stark contrast to most of the user-commenters here, I was just very very annoyed by Kate Winslett's character. Her acting was unimpeachable, but the character just left me ill almost from the beginning, and made me iller and iller as the movie wore on. I couldn't see why Jude kept ever at her heels like a puppy-dog whilst she played her manipulation games. She just seemed always distant and all-'round messed-up.
Well, anyway, I suppose my critique is not so much of the movie as a movie, but of the story's content. Too too too bleak, and like another user-commenter said, "horrifying".