I always say Harry Potter and the Order of the Phoenix is my favorite Harry Potter book, but in fact, the last four books are all my favorites. The red thread (is that even a saying in English, or am I just translating this Dutch phrase too literally?) of the entire series and the way Rowling thought ahead comes through greatly, the characters are developed deeply and beautifully and the entire atmosphere is just much more grim and intense; just the way I like it. 
 The sixth book, Harry Potter and the Half-Blood Prince, reintroduces Harry's stubbornness, in the form of his addiction to the book of the Half-Blood Prince. In addition, his obsession with his parents comes to the surface again; in book three he already thought his father conjured a Patronus to save him (which actually was his own Patronus), now he is convinced the mysterious book is written by the young James. I really liked the peek into "the real world"; this book starts with the prime minister of the British Muggles, being informed about the terrifying situation in the wizard world, which is now also influencing the Muggle world. You are reminded that in fact, there is no such thing as "two worlds"; everything that happens in either communities, also influences the others. 
 Lastly, obviously, the ending was intense. But again, a great built-up to the final ending of the entire series. I always love rereading the scene on the Astronomy Tower, now knowing what "really" goes on there. 
 "And now, Harry, let us step out into the night and pursue that flighty temptress, adventure." 
 ~ Albus Dumbledore