I have finished Fate Stay Night.
Went back and snagged the alternate endings to UBW and Heaven's Feel as well. May go after the Tiger Dojos just for fun too.
Pretty amazing piece of work, all things considered. In terms of routes, I'd say: Unlimited Blade Works > Heaven's Feel > Fate.
I liked Heaven's Feel despite it being very depressing in some places, but the final exposition on just what the Holy Grail War was and how it was started was interesting. I also think it had the most emotional/dramatic and enjoyable climax out of all of them, but Unlimited Blade Works is still my favorite route overall.
If I had any complaints (possible spoilers, so...)
it's that the sex scenes were... laughably written. Maybe it's just the English translation, but I could not take those seriously. That and Shinji being an absolute douche out of all douchebags ever (even Zouken got some token humanizing moments... granted, they were VERY few, but it's more than Shinji got!). The Fate route was kind of underwhelming as well, between Saber's rather bland personality and Shirou being stupid.
I think I might watch Fate/Zero now. Is there any word on how good Fate/Hollow Ataraxia is? I've heard it's in the process of being translated.