TL;DR: as a story it is excellent; as theology, it falls apart.
As a side note: I like this cover. It is creepy, mysterious; and this reflects the book much better than the usual "alethiometer" version.
Of the story: I won't trouble you with the plot, but it has one, it is interesting, varied and imaginative. It suffers ever-so-slightly from the usual glossing over of the hardships of travel, but never mind that.
On the minor level, while he can assert that he believes that "life is immensely valuable" nonetheless his books feature, as do so many, the commonplace trope of the central characters sacrificing the lives of many un-named spear-carriers in order to protect their own. As a token minor quibble, the idea that a hydrogen-powered dirigible would go anywhere near a fire-hurler that had, moments before, demonstrated its ability to hit is absurd.
Of the theology: there's a strong view that the book is anti-religious or more narrowly anti-catholic, and it is hard to argue with that, since all the religious figures and institutions are bad or evil. But let's think about the central issue, Dust. This is an awkward blend of theology and physics (which, at the plot level, he handles nicely in the book: what is "physics" to us is labelled "experimental theology" to them), in that whilst a subatomic particle on the level of the electron, it is in some sense aware - it knows the difference between children-pre-puberty and adults; it animates the alethiometer. Wisely, Pullman makes no attempt to make sense of this, and sweeps us past it as quickly as possible to the next adventure, because of course it makes no sense at all. Or at least, none to me; I think you have to be something like an idealist to even think in this direction.
Another regrettable issue is that "original sin" is somehow mixed up with the transition at puberty, and thus implicitly with sexual activity, although our author is never crude enough to say this explicitly. Which is a rather radical interpretation: somehow, children are innocent but adults are sinful. Wot? Worse, because (by construction) this is actually true in his world, he has given the church a justification (in his world!) for their doctrine of original sin.
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