Took coming home as an opportunity to finish this series, watching the last episode through a couple of airports and on the plane. I can understand why fans of the game are terribly disappointed, even if one discounts how much better latter's storyline is. First of all, nothing really starts happening in Tsukihime until episode 9 or thereabouts, and even with the reduced storyline (see Wikipedia for more details; for a more biased analysis, try these opinions), there is too much to be crammed into 3-4 episodes. Questions left unanswered include 'why did Arcuied die this time?', 'was it because Shiki weakened her by killing her the first time?', 'what exactly is Akiha?' etc and a number from that second link. Taken on its own, the anime's ideas are quite interesting, but rather poorly executed. I never wanted to drop the series, but having reached the end, disappointment is the main feeling.
It's even worse when one addresses what could have been. Tsukihime is a H-game (you can tell, from the character composition), though that element has pretty much been removed, largely because the protagonist is rather oblivious to the girl(s) interested in him. This is the case in virtually all H-game anime adaptations (cf, Ai Yori Aoshi, Da Capo, Kanon, Kimi ga) if I'm not mistaken (even if Tsukihime is, from what I've read, a bit more risque than the others I've named), so that wasn't the reason fans were very upset.
Rather, the background of Tsukihime, and thus the storylines you can follow, are very interesting. The anime chose what may be considered the weakest one (leading to the Arcuied 'good' ending (by 'good' I mean it makes more sense than the alternative...)). Perhaps they wanted to focus on the development of the main characters, but 12 episodes doesn't leave enough time, and it shows. A 26-episode series could have worked better, and perhaps a few of the more intricate storylines (try reading this walkthrough) could also have been explored.