If you are looking for amazing special effects, then this isn't the one for you. Unsurprisingly, throught the film there is an intense feeling of a tight budget. However, with the performances inside, it hardly matters.
I had the fortune to see this while it was at the New London Theatre. None of the magic created by the actors is lost in the film - Romola Garai (Cordelia) is stunning, Frances Barber (Goneril) is absolutely wonderful with perfect timing and a voice to match, Monica Dolan and William Gaunt (Regan and Gloucester) are brilliant, but the shining lights are Sylvester McCoy and Ian McKellen, as the Fool and Lear. McCoy plays a hilarious, spoon-playing fool, and there is a great sympathy towards the character, making his fall incredibly tragic. And McKellen is pitch perfect. His performance as the great King is the definitive version.
There are many more visually stunning versions of this on film, but performance wise, it doesn't get better. I'm inclined to say that if you're studying the text in class, it's probably the best bet. It's very close to the stage production, and isn't inhibited or enhanced by large sets or costumes.