I can't add much to the other reviews already posted here. As someone who loves Bulgakov's novel (in English translation), I was impressed and moved by this very faithful adaption to the screen. I am not sure if someone who had not read the book first would fully appreciate the work and would strongly recommend doing so before seeing the film.
There are a few minor changes from the book, some omissions and a few additions, but nothing that really changes it. The portrait of Jesus (Yeshua Ha-Notzri) and his execution are deeply moving. The major characters of Satan (Woland), the Master, Margarita and Pontius Pilate are wonderfully acted. So also are the minor characters, too numerous to list here.
One thing did puzzle me, the poor quality of the English sub-titles. Again, knowing the book minimizes the problem, but still in 2005, couldn't they have found a better translator, or used the dialog from one of the fine translations of the book?
I must give my thanks to all the people involved in this production who have given new life to Bulgakov's masterpiece.
