I thought the movie tracked fairly well with the book, so I won't comment much on each separately (except to say that Heath Ledger was fabulous, of course). Both were very different from what I expected.
I was expecting a love story, maybe something like The Notebook, except with guys. And while there is a love story involved in Brokeback Mountain, the real central theme that everything else in the plot comes back to is this: It is a profound tragedy when a person is not allowed to be who they are.
At first, I was actually a little disappointed in the plot. It was initially heavy on sex without really showing how any type of emotional bond was forming between the two main characters. But then you get these flashes (the shirts), where you realize just how much these two love each other. And you realize it's not that they aren't talking because they don't love each other, they aren't talking because they can't--they don't know how to communicate what it is they're feeling. Which makes the tragedy of it all that much deeper.
With it's beautiful, open Western landscapes, the movie underscores the loneliness of the story, and the book, at 64 pages, is a super quick read. Pick a melancholy, stormy Fall evening and curl up with both.