In a recent interview to discuss her new movie Driving Lessons, Julie Walters from the Harry Potter movies briefly discussed filming on Order of the Phoenix.
Julie discussing a scene from Order of the Phoenix:
Oh yeah, Christmas; we have a very good Christmas. The sets are fantastic; Mark (Williams), who plays Mr. Weasley, said they made his hair stand up on the back of his neck when he walked into one of the rooms. They're just so beautiful, they're amazing.
On working with director David Yates compared to Chris Columbus and Alfonso Cuarón:
He's very unassuming; they were in a way, Alfonso was, but he's fantastic. [David] is very into the emotional truth of it, the kids absolutely love it; he's very sweet and kind, and very, very into the story like a child is. And he's really into the emotional depths, and he's really fantastic, he's a lovely man.
You can read the full interview at the link above and thanks to Shmuel for the link.