The chosen one who solves the millenium puzzle is given a counterpart who is an ancient egyptian pharoah (King Yami). This king behold limitless powers, but at the current time, he is unaware of any of them.
The Millenium Eyes has to replace one of the possesor's eyes to take full efftect. It allows one to read the minds of others.
The bearer of the Millenium Rod has the power to control the minds of many people, however, as seen in recent episodes, the controlled one's heart may regain control (isn't that kind of cheesy?). As with most Millenium Items, this one may also banish the soul of one to the Shadow Realm (why didn't Marik just do that on Joey?).