Geez, I don't know where to start. A lot of stuff happened in that 870 pages.
The biggest shock in the story was, of course, the death. We all knew it was coming, but I definitely was still surprised who it was. I really thought for most of the time that it would be Hagrid or possibly Dumbledore, although Dumbledore isn't really a logical choice because he has to be around to explain things to Harry. Thinking back, there were definitely signs that it would be Sirius, especially when Harry was leaving to go back to school and he kept wanting to say something to him but wasn't able to. This is defintiely something that will affect Harry deeply in the next 2 books. ETA: I just saw carnation's post, and yes, it was glossed over a bit. But I think JKR wanted the reader to react the same way that Harry did; he thought that maybe it didn't really happen at first, and it took awhile to sink in (and at the end, I don't think it had really fully hit him yet).
Speaking of death, one thing that kept bothering me was that Harry was not able to see the thestrals until now. Shouldn't he have been able to see them the whole time because he witnessed his parents' deaths as a baby? Or do you have to be conscious of and able to comprehend the death in order to see them? hmmm...
I enjoyed the Cho storyline. I think it's about time Harry got together with someone, and it helped keep the mood a little bit lighter at times. The reactions of Harry, Ron, and Hermione were hysterical after the kiss, especially Harry's horror when he thought that it was possible that Cho was crying because he was so bad, LOL. JKR did a great job of capturing all of the adolescent reactions and emotions. Cho gets around, though, doesn't she?
It's hard to say if Harry will end up with Ginny or Hermione, but I think it will probably be Ginny, especially if Ron has anything to do with it. I think the line where Harry compared Ron and Hermione's interaction with Mr. & Mrs. Weasely may be a bit of foreshadowing.
Neville certainly showed why he's in Gryffindor in this book. It was nice to see him finally succeeding at something. It was also nice to see a little more character development with him when they showed him with his parents at St. Mungo's. The twist at the end, where it could have been either him or Harry that could defeat Voldemort, was very interesting. I think that Neville will figure prominently in the final battle.
Dumbledore's final speech to Harry was very touching, and I think it's exactly what he needed, even if he doesn't want to listen right now. Anyone who thought that Dumbledore was possibly going to turn evil has been proven wrong. I don't see him surviving at the end of all of this, though.
I think that's all for right now. I'm going to go back and reread the book a little more slowly. I hope that book 6 comes out a little more quickly than this one did!