As with many of the movies, there is a longer sequence at the Dursleys, who receive multiple owl messages the night of the dementor attack. We also learn that Aunt Petunia knows more about wizarding than she has previously let on.
Much more time is spent at Grimmauld Place, where Mrs. Weasley sets the children to cleaning the place up. There is a memorable scene where Mrs. Weasley encounters a boggart, which shows her greatest fears to be her family and Harry dying horrible deaths. Ron and Hermione are notified that they will be prefects for the new school year, but Harry won't.
Also at Grimmauld Place, the students help Mrs. Weasley with cleaning to prepare it as the headquarters of the Order of the Phoenix. One of the items found during the cleaning is a locket that will play further along in the series. It will be interesting to see how they deal with this.
There is an extended sequence set at St. Mungo's Hospital where Harry and the Weasleys go to visit the injured Mr. Weasley. They accidentally encounter Gilderoy Lockhart, who is still recovering from his self inflicted memory charm (see Harry Potter and the Chamber of Secrets). While in his ward, they encounter Neville Longbottom and his grandmother, who are visiting Neville's parents.
The flashback of James Potter bullying Severus Snape is more detailed. Sirius Black, Remus Lupin, and Peter Pettigrew were present (one boy to the left of James resembles Sirius), and Harry's mother intervenes to stop them.
While Hagrid's return is in the film, his return to teaching is not. He tries to hold a class about Thestrals while being much interrupted and disturbed by Dolores Umbridge.
There is much more about the O.W.L.'s and how the students do on them. The students are told they have to choose a career path in order to determine which classes they need to take. Harry decides he'd like to be an Auror.
Most of the awkward romance between Harry and Cho has been omitted, including a disastrous Valentine's coffee-shop visit.
In an attempt to get the truth about Voldemort out, Harry gives an exclusive interview to Rita Skeeter, telling details of Cedric Diggory's death. (In Goblet of Fire, Skeeter had been blackmailed into silence by Hermione, who discovered she was an unregistered animagus.) The interview is published by Luna Lovegood's father in his magazine, The Quibbler.
In the scene where Fred and George leave Hogwarts before they leave, they tell Peeves (A nasty troublemaker of a poltergeist) to "Give her hell from us!" referring to Umbridge. There is also more in the book about Peeves, amongst other things, for the first time ever, working together with the students. Also McGonagall seems to favor Peeves mischief as she walks by Peeves, who is trying to unscrew a chandelier, she mutters: "It unscrews the other way."
There are two separate instances of disruptions made by the Weasley twins, to help Harry use Umbridge's fireplace for communication with the Order. In the first instance they use their own brand of fireworks and in the second one, before they are caught, they conjure a swamp in one of the corridors. They publicly take credit for the swamp, to the point of advertising their Portable Swamp, and leave the school and are thus never actually expelled.
The book has the Inquisitorial Squad in a much more prominent position. There are numerous instances of Draco Malfoy and other members abusing their powers to scare, bully and remove House Cup points from various students.
A long plot-line in the book, completely omitted in the film, concerns Quidditch. Harry's detentions get in the way of practice, Ron joins the team as Keeper, the team is nearly disbanded after an Educational Decree. Ginny joins as seeker after Harry's been banned from the game.
The DA is not betrayed by Cho Chang, but by another girl named Marietta who suffers a horrible case of acne because of a hex Hermione had placed on the sign-up sheet. Note that the other girl was invited by Cho to the DA meetings, so Cho felt guilt in any event.
The Order of the Phoenix is betrayed by Kreacher, Sirius Black's house elf, when Sirius, in a fit of anger, gives Kreacher an order that permits him to speak to Sirius' cousin, Bellatrix Lestrange.
The sequence in the Department of Mysteries is much longer. The members of the DA and Death Eaters battle and hex each other all through the different rooms of the Department. While the DA and Death Eaters are fighting in the Death Chamber, it was Neville not Lucius who drops the prophecy by accident. When Harry, Bellatrix and Voldemort are in the lobby of the Department of Mysteries Voldemort learns that the prophecy he has been after for so long has been smashed and attempts to kill Harry using the Avada Kedavra. Before the spell can reach him Dumbledore summons the golden statues, in the lobby's fountain, to life to protect Harry.
The prophecy stored at the Ministry could apply to Neville Longbottom or Harry. Dumbledore believes Voldemort chose Harry because they are both half-blood.
When it came to the prophecy, no one heard it at the department of mysteries. Harry had to find out from Dumbledore what the prophecy says, and then tells Ron and Hermione. Ginny, Luna, and Neville know nothing of what the prophecy is about. Also, it is explained that Dumbledore knows about what is said in the prophecy because he heard it predicted from Professor Trewlany. This is why she gets offered her job. It is also explained that a Death eater overheard the beginning of the prophecy, which is why Voldermort attacks Harry's parents. Although it could be that only Harry heard the prophecy because he was holding it.
Harry is much more upset after Sirius' death, to the point of angrily breaking objects in Dumbledore's office. He also has a conversation with Nearly Headless Nick, broaching the possibility of Sirius returning as a ghost. Nick explains that he and most other ghosts chose their fate because they were afraid of leaving this world. Also, the conversation after Sirius' death between Harry and Dumbledore is much longer and in depth.
Dumbledore appoints Firenze, a Centaur first seen in Harry Potter and the Sorcerer's Stone, as Professor Trelawney's replacement for Divination. This angers the rest of the Centaurs. Further, Dumbledore rescues Umbridge from the Centaurs after he returns to Hogwarts, though we never see how.
After Lucius Malfoy and most of the other Death Eaters are captured, Draco, Crabbe, and Goyle confront Harry at Hogwarts. Harry tells them that after confronting Voldemort and the Death Eaters, he's not afraid of anything they might try.
The scene in which Harry received a two-way mirror from his godfather was omitted from the film, which could cause a significant problem later in the films.
In the book, Ron does not meet Grawp when Harry and Hermione do. He is off playing in the Quidditch final, in which he wins, and Harry and Hermione tell him about Grawp (Hagrid's full-blooded giant half brother) much later.
Sirius Black is not killed by the killing curse in the book. It does not define which cursed is use, except to say that there were red lights/sparks. The killing curse is known for having a green light. The assumption is that Avada Kadavera was used in the movie for people who do not read the book, thus saying for sure that Sirius Black is dead. Actually, the book never states that the curse that hits Sirius is red, as it says "a second jet of light hit him squarely in the chest." Therefore Sirius may have been killed by an Avada Kedavra curse (the killing curse, but this is unlikely as Harry was convinced he wasn't dead, he was just hiding behind the veil. If Harry had seen Sirius struck my the green Avada Kedavra curse, he would have known he was gone
for more, see: http://en.wikipedia.org/wiki/Differences_between_book_and_film_versions_of_Harry_Potter_and_the_Order_of_the_Phoenix