With recent Warner Bros. releases there is generally no difference between the BD and the HD DVD versions, so when this is the case I always opt for the anti-scratch coating that BD provides. I also believe that the first four Harry Potter movies are identical in their content between HDM releases.
However, in the case of The Order of the Phoenix, I think the biggest difference between HD DVD and the BD is IME PiP on the HD DVD vs. IME material presented standalon in HD on the BD, as was already mentioned. Here I will again opt for the BD for the improvement in PQ on the extras. To me the PQ trumps the presentation.
Additionally, the HD DVD will be in the Combo Format, which I dislike because it has been my experience I am more likely to receive them scratched. I also miss the disc art.
In the end, most of these differences aren't worth losing a lot of sleep over, but I thought I would share the preferences I've developed having spent over a year collecting HDM as maybe that will help you make a decision.
Edited to add:
I decided to go to DVD Empire and compare the back covers of the Harry Potter releases for BD and HD DVD, and aside from the aforementioned differences, it also looks like the HD DVD version of Goblet of Fire gets an IME feature and a Harry Potter Timeline. For Order of the Phoenix, there are some additional Web-based features: Pick Your Favorite Scene (scene sharing online), Live Community Screening (Organize a Virtual Screening Party), and Purchase Mobile Downloads (
)
So, there is a bit of a decision with the last two. Since I don't care of the Web-based features however, I'd say the only release where HD DVD has a clear advantage over the BD to me is Goblet of Fire.
I am however leaning towards owning on Blu-ray.
I'm thinking I might go the coin flip route myself.