Q:

Why did the Order bother to guard the Prophecy?

(And please, nobody say "Cause Dumbedore asked them to")
We know one of the tasks of the Order after its re-creation was to keep safe a weapon Voldemort was after.

“What’s he after apart from followers?” Harry asked swiftly.
  He thought he saw Sirius and Lupin exchange the most fleeting of looks before Sirius said, “Stuff he can only get by stealth.”
  When Harry continued to look puzzled, Sirius said, “Like a weapon. Something he didn’t have last time.”
(Order of the Phoenix, Chapter 5, The Order of the Phoenix)

Sturgis Podmore was Imperiused while patrolling around the door behind which it was kept, and Arthur Weasley was attacked there by Nagini (or Voldemort in Nagini).

“Your father has been injured in the course of his work for the Order of the Phoenix,” said Dumbledore.
[...]
  “The Ministry wouldn’t want everyone to know a dirty great serpent got —”
  “Arthur!” said Mrs. Weasley warningly.
  “— got — er — me,” Mr. Weasley said hastily,
[...]
  “You were guarding it, weren’t you?” said George quietly. “The weapon? The thing You-Know-Who’s after?”
  “George, be quiet!” snapped Mrs. Weasley.
  “Anyway,” said Mr. Weasley in a raised voice...
(Order of the Phoenix, Chapter 22, St Mungo's Hospital)

-

“Sturgis Podmore,” said Hermione, breathlessly. “Arrested for trying to get through a door. Lucius Malfoy got him too. I bet he did it the day you saw him there, Harry. Sturgis had Moody’s Invisibility Cloak, right? So what if he was standing guard by the door, invisible, and Malfoy heard him move, or guessed he was there, or just did the Imperius Curse on the off chance that a guard was there? So when Sturgis next had an opportunity — probably when it was his turn on guard duty again — he tried to get into the department to steal the weapon for Voldemort"
(Order of the Phoenix, Chapter 26, Seen And Unforeseen)

We also learn later that the said weapon was the Prophecy about Voldemort and Harry.
Voldemort was after it, because he thought its end would tell him how to destroy Harry.

And so, since his return to his body, and particularly since your extraordinary escape from him last year, he has been determined to hear that prophecy in its entirety. This is the weapon he has been seeking so assiduously
  since his return: the knowledge of how to destroy you.
(Order of the Phoenix, Chapter 37, The Lost Prophecy)

But let's look at the content of the Prophecy, and what part he already knows of:

“THE ONE WITH THE POWER TO VANQUISH THE DARK LORD APPROACHES... BORN TO THOSE WHO HAVE THRICE DEFIED HIM, BORN
  AS THE SEVENTH MONTH DIES... AND THE DARK LORD WILL MARK HIM AS HIS EQUAL, BUT HE WILL HAVE POWER THE DARK LORD KNOWS
  NOT... AND EITHER MUST DIE AT THE HAND OF THE OTHER FOR NEITHER CAN LIVE WHILE THE OTHER SURVIVES... THE ONE WITH THE
  POWER TO VANQUISH THE DARK LORD WILL BE BORN AS THE SEVENTH MONTH DIES...”
(Order of the Phoenix, Chapter 37, The Lost Prophecy)

-

“He heard only the first part, the part foretelling the birth of a boy in July to parents who had thrice defied Voldemort."
(Order of the Phoenix, Chapter 37, The Lost Prophecy)

The bold parts are already known to Voldemort... and the rest of the prophecy does not really gives him valuable information:

Mark him as his equal: OK, that's already done.
He'll have a power the Dark Lord knows not: Yep, that's love. But since Voldemort does not know of it, he won't be able to understand this sentence. He will imagine another power, but that won't help him (and he probably already guessed this while planning to kill baby Harry).
Either must die at the hand of the other...: Alright, so Voldemort should go and kill Harry then! Oh, but he kind of already wanted to anyway, didn't he?

Was preventing Voldemort from hearing the end of the Prophecy worth all the trouble and the risks (one member of the Order lost for 6 months to Azkaban, another heavily wounded and happy not to be dead...)? Why did they bother to do so? 

A:

I think you're dismissing 

AND THE DARK LORD WILL MARK HIM AS HIS EQUAL

a little too quickly.  Throughout the books, even after Voldemort is defeated by Harry as a baby, defeated by Harry while inhabiting Quirrel, defeated by Harry in the graveyard, through all of that, Voldemort is still operating under the impression that Harry is nothing, simply a little brat who happened to get lucky (a lot).  Perhaps if Voldemort had heard the prophecy and learned that Harry was, in fact, "his equal", he might have considered Harry a more worthy opponent, and would have taken greater care, more careful planning, when it came to arranging his demise.  Basically, not knowing that Harry was anything but a fortunate child had the impact of lulling Voldemort into a false sense of security.
Or so, perhaps, might Dumbledore have believed.

A:

Bearing in mind that Dumbledore didn't tell the Order what the prophecy said, they clearly have taken his word for it that it was worth protecting.  Whether it really was is debatable.
However, Dumbledore would have wanted to prevent Voldemort from hearing the whole thing because Voldemort will be more careful and make his moves slower if he doesn't know what it says, as he was clearly burned the last time he jumped the gun with baby Harry and got himself disembodied.  For all he knows, the end of the prophecy said that he would die.  While he doesn't know for certain what it says he's likely to avoid all out war on the Order as much as possible.
Of course, the flip side is that it meant he was far sneakier for a lot longer and consolidated his power and control of the Ministry etc before making himself known again, whic arguably wasn't in anyone's interest.

A:

Nowhere in the book is it actually specified that the Order's goal is to prevent Voldemort from attaining the prophecy; as the asker rightly points out, the prophecy would not help Voldemort at all. So why bother?
I believe it was possible that the Order's ultimate plan was to force Voldemort and/or his Death Eaters into the open. After all, this was their main problem in the book: nobody believes Voldemort is back. The Order members themselves have no idea where Voldemort is and cannot really do anything against his Death Eaters. The only definite knowledge they have of Voldemort's plans is that he is after the prophecy, so why not surprise him there when he comes after it? After all, they know either Voldemort or Harry has to retrieve it; we know this because Dumbledore says:

"And then you saw Rookwood, who worked in the Department of Mysteries
  before his arrest, telling Voldemort what we had known all along —
  that the prophecies held in the Ministry of Magic are heavily
  protected. Only the people to whom they refer can lift them from the
  shelves without suffering madness." (Order of Phoenix, Chapter 37)

Keeping a guard stationed at the Department of Mysteries thus serves the following purposes:

It keeps them updated on Voldemort's movements. They'll know from the ways in which Voldemort attempts to retrieve the prophecy the extent of Voldemort's reach, specifically how much power he has within the Ministry, as well as how much information Voldemort has managed to gather. 
It helps maintain the charade that the prophecy is important. Not only does this keep Voldemort distracted by a fruitless goal, it forces him to potentially make mistakes like the Bode incident that might expose him, and, as long as Voldemort doesn't give up, it will eventually force Voldemort himself to show up at the Ministry once he learns that only he or Harry can retrieve the prophecy.
If Voldemort and/or a horde of Death Eaters show up at the Ministry, Fudge will be there to see him/them (which, of course, is what happened when they did). The guard would be able to alert Dumbledore and the rest of the Order, who could show up and hold them off until they can get Fudge to arrive and confront the truth.

Ultimately, the Order's goal may very well have been to force Voldemort himself to show up at the Ministry, exposing his revival to the wizarding world at large.

