This is my review of The Killing: All Debts Must be Settled, Complete Season Three [DVD] .
I agree that unless you are a Danish speaker you need to concentrate hard to read the subtitles, observe people's body language and notice what is happening in the often short scenes which switch rapidly between the various plot threads, frequently leaving gaps for you to fill in. I wish I had thought of making a note of the various characters starting with Episode 1, which you may need to watch twice to grasp the political background of this thriller.
Although you do not need to have seen the previous two series, it is an obvious advantage to have done so. Series 3 may be the best in terms of coherent plot and character development. There are some similarities with Series 1 e.g. the sensitive in-depth coverage of a couple's desperation when their child is kidnapped; a cunning criminal who has a specific and unusual motive rather than being a simple "serial killer"; complex political shenanigans with a charismatic but flawed leader trying to win an election but dependent on trade-offs with small parties ("The Killing" does little to further the case for coalitions) and requiring the support of a major industry, in this case "Zeeland" – realistic when you consider the size of Denmark.
Still driven and preoccupied with the latest case to the point of obsession, Sarah Lund retains the tendency to walk round in the dark with a torch, usually without backup, which has become an almost comical trademark of the series. She is as unconcerned about her personal appearance as ever, although wears a wider range of jumpers – I particularly liked the white one with a striking chevron pattern. She admits to having been a "bad mother", but her attempts to be reconciled with her son are invariably interrupted by a phone call on the latest crisis at work.
Since this is described as the last Series, I anticipated a dark ending, thinking that it would be too tame for Sarah to take a cushy desk job, as planned, and to settle down with a former lover in her "shed". The ending is unpredictable, leaves a good deal for you to mull over and draw your own conclusions, according to your preference. I think it is wise to call this the last in the series while many people may still want more, but perhaps the producers will change their minds.