The director says that she set out to make a "feelbad" moovie, and having seen it I agree that is exactly the feeling you are left with. So why watch it? It is not easy viewing, and involves religious themes, and consideration of abortion, and is based in a womens' gaol. However, despite the ending, the main story of the film is well crafted, and draws the watcher deeply into the characters' lives.
There are a number of story strands, involving romantic love, redemption, friendship, conflict between good and evil, the contrast between the power of God and formal religion, and a decision on an abortion. The director crafts these different stories skillfully together, generally building up hopes of a triumph of good - until near the end when it all unwinds to a depressing finish. Apart from the depressing ending, the main downsides for me were the extraordinarily abrupt ending, just as if the film had fallen apart, and the constant motion of the camera. Dogme films are okay, but this shouldn't prevent the camera being held steady. Even the credits were waving all over the screen. You also have to follow some fairly complex discussions through sub-titles (unless you are Danish).
That said, if the subject interests you, much of the film is really memorable - just a shame that it is only a build up to sadness at the end.