Molly Weasley is a member of the Prewett family. Rowling first revealed this in a note posted on her old website1:
Before her marriage Mrs. Weasley was Molly Prewett. As you will note from chapter one, Philosopher's Stone, she has lost close family members to Voldemort.
She would confirm this in the books in Deathly Hallows. For his birthday, Mrs. Weasley gives Harry a watch that belonged to her brother "Fabian"2:
"It's traditional to give a wizard a watch when he comes of age," said Mrs. Weasley, watching him anxiously from beside the cooker. "I'm afraid that one isn't new like Ron's, it was actually my brother Fabian's and he wasn't terribly careful with his possessions, it's a bit dented on the back, but..."
Deathly Hallows Chapter 7: "The Will of Albus Dumbledore"
And, in the epilogue, we learn that it was indeed Fabian Prewett's watch3:
[Harry] checked the battered old watch that had once been Fabian Prewett's.
"It's nearly eleven, you'd better get on board."
Deathly Hallows Epilogue
Fabian Prewett had been previously identified in Order of the Phoenix, as a member of the original order who died a heroic but unfortunate death (emphasis mine)
"That's Edgar Bones... brother of Amelia Bones, they got him and his family, too, he was a great wizard... Sturgis Podmore, blimey, he looks young... Caradoc Dearborn, vanished six months after this, we never found his body... Hagrid, of course, looks exactly the same as ever... Elphias Doge, you've met him, I'd forgotten he used to wear that stupid hat... Gideon Prewett, it took five Death Eaters to kill him and his brother Fabian, they fought like heroes... budge along, budge along..."
Order of the Phoenix Chapter 9: "The Woes of Mrs. Weasley"
But we had no indication before Deathly Hallows that he and Molly were related.
1 Which has since been taken down; archived copy courtesy of the Wayback Machine; I feel justified in saying this is the "first" because the first Wayback Machine snapshot of the page is March 2006, and Deathly Hallows was released in July 2007
2 Thanks to Au101 and ThruGog for reminding me of this hint in comments
3 Thanks to Martijn and Harry Johnston for confirming this part in comments.