Software Sculptors released the English version DVD of the Utena movie, and it is one of the best anime DVDs available. They held a national contest for fanart and cosplay and displayed the results on the DVD. There's also a plethora of character sketches, trivia, and most remarkably, a commentary by the Japanese director which has previously been unheard of on an anime DVD.
The movie itself is as gorgeous as it is confusing, and in most cases should not be viewed by those who haven't seen the series. Unlike some theatrical releases (like the Cowboy Bebop movie) this movie doesn't stand too well on its own, and most people who see it first never want to see the Utena series at all.
Popular fan opinion is that Anthy is much more likeable in the movie, whereas Utena is much less likeable. Anthy is much stronger in this movie, but I believe her character in the series is more believable, according to her past. Utena is much weaker, sick over the disappearance of a lover. However, there are certainly portions of the series where Utena displays weakness in other ways, and both hers and Anthy's are revealed so that they may overcome them. To believe that a stronger character is cooler in a series like Utena is selling short its depth in many ways.
Whereas in the series Anthy and Utena aren't lesbians, they are in the movie. Akio, one of the most important characters in the series, was also drastically changed. His attire was made much more effeminate and his voice actor was changed. Fans of his character were fairly outraged about this, as well as the fact that his appearance in the movie was cursory and largely unnecessary.
One last note about Utena's hair: though short, it seems to magically lengthen at select times in the film. This was only briefly explained in an artbook- she had in fact pinned her hair up in such a way that it appears short, but is actually much longer. Many fans, including myself, dislike the new wavy look it has and prefer her traditional hair style.