Okay, now, spoiler alert. If you havn't read the graphic novel, don't read on. If you havn't seen the film, don't. Read the graphic novel instead.
In Watchmen, the world is on the brink of nuclear war. Ozymandias, the worlds most intelligent man, comes up with a plan to avert this. Along with a group of scientists and artists (who he later kills to keep the secret), he creates a giant "extra-dimensional" being which, when it materialises in New York City, kills off the city's entire population with it's psychic "death" scream. With the perceived threat of a very dangerous and powerful potential enemy from somewhere other that Earth, the planets population will hopefully unite, their previous squabbles paling in comparison.
In the movie, the psychic alien is completely written out. Instead, the threat to the world come from faked (by Ozymandias) manifestations of the ever increasing power of Dr. Manhattan, one of the former Watchmen. The problem with that ending is this. In the original, the countries of the world can unite against a common enemy. Dr. Manhattan however, is not only an American but an American soldier. His powers being an american asset have further pushed the world toward mutually assured destruction. Seeing a greater destructive threat coming from that source would further galvanise America's allies and may even gain it new ones. The world would be even more divided that before it had happened. Somehow in the movie, the human race unites instead of being further pushed apart which is the effect that I believe the manifestations would have had on the psychology of the people of the Watchmen world.
I really don't see any reason, other than time and financial factors, why the ending was changed. Putting in the creation of the alien would have added maybe another 30 minutes to the length of the film. The arrogance of the Hollywood script writers at the belief that they could write as good a, or better ending that the great Alan Moore exasperates me.
Boycot the film. Buy the graphic novel and experience one of the greatest stories ever written.