Order of the Phoenix is my least favorite of the novels. Lots of people love Harry's angsty teenage ways, but I find this character shift forced. I don't believe Harry, the Harry we've known for four "years" now, would behave the way he does is Order. There's no impetus for such a drastic turn into douchehood.
However, Helena Bonham Carter is brilliant as Bellatrix. She's definitely my favorite villain. And I do think the movie improves on the ministry sequence at the end. They cut out the weirder elements (baby heads? flesh sucking brains?) and make it look pretty damn cool.
I'll also mention that The Weasley Twins are my favorite characters and I'm glad their exit is well represented. The score of this film is also one of my favorites.
I wish there had been more Tonks and more flashbacks, but as I keep being reminded, we can't have everything we wish for. That's what the novels are for.