I'm a fan of Hillerman's mysteries, and had high hopes for Redford's film adaptations. I came away from Skinwalkers a bit disappointed. I should preface my comments by saying that I've read about two-thirds of the Navajo mysteries, and Skinwalkers is my least favorite, so in some sense my disappointment started with the choice of book to adapt. However, my main quibbles with the movie are independent of this issue.
The foremost problem is what I see as unfaithful characterizations of Leaphorn and Chee. In the books, Leaphorn's defining attribute is his preternatural intuition, which he backs up with methodical procedure--sort of an aging Navajo Adam Dalgleish. Chee's essence is that he's a good cop who has to overcome frequent waves of self-doubt. Both are men of few words, Leaphorn because his mind is always whirring, Chee because he's moody by nature. Perhaps most distinctly, the relationship between the two is extremely unequal: Chee is in awe of Leaphorn's reputation, and as such is perpetually worried about making a wrong move within Leaphorn's view. However, what the Skinwalker movie does is take a single dimension of the characters--the fact that Chee is an active participant in Navajo spirituality and Leaphorn is not--and make that their defining contrast. This distorts Leaphorn in particular almost beyond recognition: rather than the icy logician of the books, whose attitude toward Navajo spiritual tradition is at worst pragmatic, the movie renders him as sort of a reservation Dirty Harry (with a smaller gun), informed primarily by cynicism about human motives. Given this, there's nothing for Chee to be in awe of, and their collaboration is presented as an equal division of labor, with Chee providing the "Navajo insider" angle and Leaphorn the "hardheaded cop" grounding.
Beyond this, the plot of the movie diverged considerably from that of the book, for the worse in my opinion. Disparaging a movie for not being true to a book I didn't like all that much might sound like complaining about the small portions at a lousy restaurant, but the book did have some good moments, most of which got altered or left out. In particular, the book has an especially tense episode near the end when one of the principles is in grave danger, a scene that could have been adapted to great effect. Instead, the movie's denouement feels forced, as is not that exciting.
For fans of Hillerman's books, I strongly recommend seeing the film of The Dark Wind, which I think captures the feel of the books much better than does Skinwalkers. I have a harder time recommending The Dark Wind to those unfamiliar with the books, as it has a slow pace and will probably be hard to follow. I also liked the adapatation of Coyote Waits quite a bit, less than The Dark Wind, but much more than Skinwalkers.