The thing about Order of the Phoenix was that it was about 700 pages of character development and 100 pages of actual plot events. Additionally, Harry, being 15, acted as most 15-year-olds do: as a whiny, obnoxious, abrasive, self-involved cunt. On top of both these issues was the fact that Order was the follow-up to Goblet of Fire, which not only contained the Quidditch World Cup, Triwizard Tournament and Voldemort's ascension to power, but also the core trio coming to grips with their burgeoning sexuality, among other things. Concerning plot events, Goblet of Fire is rivaled only by Deathly Hallows. Fans were understandably disgruntled that the follow-up to the (then) most action-packed book in the series was essentially a character study. Of course, many acknowledged that this was very obviously an intentional device employed by Rowling in order to make the reader feel as Harry did during the entire 5th book: ridiculously frustrated. Heaped on top of all this is the death of a newly beloved character, Sirius, in an action sequence barely as long as some of the tasks of the Triwizard Tournament of the previous book.
Don't get me wrong - I absolutely adore Order of the Phoenix, and second to Hallows I think it's probably my favorite. I gobble character development up like pudding and I've probably reread it more than any book in the series. But in the context of the time of the book's release, it's more than understandable that the majority of the fanbase was a little disappointed - it just wasn't the no-holds-barred thrill ride they were expecting.