I myself went to the Chicago screening of OOTP, and being a huge Harry Potter fan, when they announced that it was going to be HP, I almost cried! Overall, I thought the movie was really good. Remember - it was unfinished. There was a lot of editing stuff left. The creatures were all computerized, so it was funny. Voldemort's face was just Ralph Fiennes with dots on his face, hehe. So here are some of the interesting things I noticed and were left out or changed.
DO NOT READ if you don't want to know what's in the movie:
The first thing I loved was the alleyway where Dudley and Harry ran into. I had imagined the setting to be something more like Oliver Twist-ish (brick buildings, trash) but really it was like walls with graffiti and looked very urban and normal... I loved it... It fit with the mood excellently.
Mrs. Figg is the CUTEST old lady!
Lupin did not come to the rescue with the rest of The Advance Guard.
They flew through the city of London when they were going to Grimmauld Place. Obviously, in the book they don't fly that low because Muggles would see them (cinematic effect obviously).
Oh I hated this: instead of the little piece of paper Harry had to read in order for the house to appear, it appeared because Mad-Eye hit his stick a few times.
The whole being prefect subplot was cut - VERY disappointed in that, actually.
The Ministry of Magic looks nothing short of AMAZING... It was beautiful.
You barely see Draco in the movie. He does do the whole Umbridge thing and he talks like once.
No hospital scene, so you never meet the Longbottom parents... Neville just tells Harry what happened.
O.W.L.s were not as serious.
Dumbledore's Army stuff was AWESOME! They had this funny montage; it was soooo GREAT.
The Trelawney kick-out scene was really sad. Emma Thompson did a great job being sad and hurt... Oh it was good.
THE KISS - it wasn't just a kiss; it was a full-fledged MAKE-OUT session... and even though in the movie they said she was crying, you didn't see her crying.
ANOTHER BIG CHANGE - Cho is the one who tattled on the DA, not her friend... and that's the reason why her and Harry broke up... No Cho getting jealous, just falling apart thing like in the book... The scene with Rita Skeeter wasn't even in the movie.
No swamp in the school when Fred and George did their big exit, but the exit was STILL really awesome.
They never mention Ginny and her boyfriends, which kind of sucks when that plays kind of a big role in the sixth book.
They never mention that Firenze became the new Divination teacher.
Luna is totally awesome, she did a really good job.
The end scene of the battle left something to be desired... people who haven't read the book might get confused why Sirius fell through the Veil and Harry was sad... It was hard to understand why he died. Also, the other kids really didn't fight that much and no one got hurt.
All the kids heard the prophecy before it crashed (and it crashed out of Lucius's hand). It also didn't have the "whole born in July, thrice defied" thing.
It had some really funny parts. It was a lot less serious than the book was.