The first book in the His Dark Materials series seems to concentrate more on the mysteries of the metaphysical than the HP books. Although Pullman's world resembles our world, that resemblance is more opaque than Rowling's blueprint. If Harry Potter's England is a carbon copy of our world's "green and pleasant land" with a few magical curlicues doodled over it, then Lyra Belacqua's is shrouded in a dimensional mist, seen through a darkened, distorted glass, and things that are familiar to us become strange: similarity of appearance lays a trap of dissonance with dissimilarity of function and purpose. Rowling adds to our world's places; Pullman takes our world's places and people and seems to shift them just half a dimension over or so. (I am only halfway through the first book, and have no idea where this will end up; please, no spoilers.)
In The Golden Compass, all societies and cultures seem to have aspects of magic and spirit, as opposed to those aspects being primarily confined to Hogwarts and certain other areas in Rowling's vision. For example, there are no Muggles to deal with in Pullman's setting, and the pacing seems a bit more organic. One doesn't have the faint sensation of the author's puppeteer presence, indicating that it's time for Ron to say something or for Draco to make an appearance because it's been x number of pages since we've seen him and need to be reminded of that rivalry.
I'm not saying one is better than the other (indeed, I apologize for the inevitable comparison; HP's high profile begs it): each is quite entertaining. I am just intrigued by the Pullman trilogy a bit more so far; it seems to have almost a Gormenghast tone to it. I can't quite put my finger on it yet; I just know that I find the story, the characters, and the narration very engaging. I know some find the whole Paradise Lost riff a bit pretentious, but who cares as long as the tale's a good one?
Or maybe I'm just tickled because I can now recognize a Tokay for what it is when mentioned in literature; specifically, the first chapter.