In no particular order, and as they occur to me:
The Dementors are seriously creepy, and the scene where they first enter the train excellent. They have some very nice touches with the temperature dropping which they use throughout the rest of the film as a precursor of their arrival.
Snape in a dress. The boggart scene with Lupin teaching DADA was a laugh riot, and great to see Neville get a good bit. Lupin overall was marvelous, and has happily replaced my mental image of Lupin.
Speaking of replacements, Michael Gambon did an excellent job as Dumbledore - stern, twinkling, and very knowledgable all at the same time.
The Marauders Map - I want one! One of the highlights of the film was seeing how the map actually worked, and especially Snape's reaction to it when he found it. Beautiful stuff, and the end credits are entirely in its style. Btw, no hidden scenes at the end - I checked.
The Knight Bus - Definitely one of the highlights of the film. Stan the conductor is brilliant, and I felt myself wanting to see more of him.
Emma Watson as Hermoione - the highlight of the film for me. She's turning out to be quite a good actress (although lumbered with some awful dialogue at times). Plus, she's gonna be a looker when she grows up. There's a strong couple of pointers towards a R/H pairing, though Emma Watson and Daniel Radcliffe have much better chemistry. Oddly enough, I can't decide whether Rupert Grinch is a bad actor, or just given the crappiest stuff to do.
Great series of running gags with the Whomping Willow.
Draco/Ginny update: This Draco is a total wimp, and I don't actually remember seeing Ginny anywhere, though according to the credits she's in there somewhere.
Misses : The time turner seemed to come out of nowhere if you weren't expecting it, and the whole Mooney, Wormtail, Padfoot and Prongs back-story is omitted. The newspaper clipping of Eygpt is shown, but never mentioned ever again. And Harry gets his replacement broom at the very end of the film.
Overall though, great fun and probably the best yet.