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Bill and Fleur's wedding party was interrupted with a warning from Kingsley Shacklebolt.

The Ministry has fallen. The Minister of Magic is dead. They are coming.

Shacklebolt sent his Lynx patronus to speak.

The movie doesn't show the patronus as a Lynx, but it does speak.

I don't remember any other patronus speaking, but there were several times when a speaking Patronus could have helped the characters.

  • Harry could have warned his past self in the Prisoner of Azkaban.

  • Snape could have used his doe patronus to speak directly to Harry in the Forest of Dean. Snape's Patronus could have told Harry about the sword of Gryffindor. He could have told Harry how he was acting under Dumbledore's orders. He could have saved Harry many troubles.

  • Sirius could have used a Patronus to speak to Harry several times.

  • Members of Dumbledore's Army could have informed the Aurors and the Order of the Phoenix about the battle in the Department of Mysteries.

Do any other Patronuses speak during the Harry Potter stories?

If a patronus cannot speak, then how did Shacklebolt speak to his friends at the wedding party?

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    There is no evidence Sirius can even use a Patronus. Not all wizards can, and even if he could in the past, the years in Azkaban might have robbed him of the happy memories needed. – Xavon_Wrentaile Jan 28 at 0:58
  • Although hard to imagine, I would think that Snape's just not aware/able that a patronus have that capability. That factor's always present in any aspect, like in software development or cooking for example. – Malky.Kid Jan 28 at 15:26
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    @Malky.Kid I wouldn't agree with that. He casts a patronus just to show Dumbledore that he loves Lily. So I assume he knows much about how Patronuses are created and what are their limits. – atayenel Jan 28 at 18:56
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Kingsley's patronus was not the only one that spoke.

In Chapter Seven of Deathly Hallows Mr. Weasley's patronus spoke:

They all saw it at the same time: a streak of light that came flying across the yard and onto the table, where it resolved itself into a bright silver weasel, which stood on its hind legs and spoke with Mr. Weasley's voice.

"Minister of Magic coming with me."

In Chapter Nine Mr. Weasely's patronus spoke again.

Then Hermione shrieked: Harry drew his wand again and spun around to see a silver Patronus soar through the drawing room window and land upon the floor in front of them, where it solidified into the weasel that spoke with the voice of Ron’s father.

"Family safe, do not reply, we are being watched."

Earlier in Chapter Nine Hermione states that she thinks she can do the talking patronus thing:

"Can you do that talking Patronus thing, then?" asked Ron.

"I’ve been practicing and I think so," said Hermione.

There are also other instances where a patronus is used to send a message, but we only see it being sent but not delivered. For example, in Chapter Eight of Half-Bloood Prince Tonks sends such a message to Hagrid (which got intercepted by Snape):

As Harry swung the cloak back over himself, she waved her wand; an immense silvery four-legged creature erupted from it and streaked off into the darkness.

"Was that a Patronus?" asked Harry, who had seen Dumbledore send messages like this.

"Yes, I'm sending word to the castle that I've got you or they'll worry. Come on, we'd better not dawdle."

Similarly in Chapter Thirty of Deathly Hallows McGonagall uses this method to send a message to the other heads of house:

She marched toward the door, and as she did so she raised her wand. From the tip burst three silver cats with spectacle markings around their eyes. the Patronuses ran sleekly ahead, filling the spiral staircase with silvery light, as Professor McGonagall, Harry, and Luna hurried back down.

This is presumably what Dumbledore was using as well in Chapter Twenty-Eight of Goblet of Fire, though it is not referred to as a patronus there:

He raised his wand into the air and pointed it in the direction of Hagrid's cabin. Harry saw something silvery dart out of it and streak away through the trees like a ghostly bird.

Since we don't see the delivery of these messages, we don't see the patronuses speaking, but that is presumably how the messages were delivered.

As for why this method wasn't used in various instances, let us examine each of your examples in turn:

  • Harry could have warned his past self in the Prisoner of Azkaban.

    In Prisoner of Azkaban Harry was a novice at magic in general, and at the Patronus Charm in particular. He had only just learned how to do it at all; sending talking messages with it is much more advanced magic which Harry wouldn't have known at the time, and he probably didn't even know of the existence of such magic.

  • Snape could have used his doe patronus to speak directly to Harry in the Forest of Dean. Snape's patronus could have told Harry about the sword of Griffindor. He could have told Harry how he was acting under Dumbledore's orders. He could have saved Harry many troubles.

    As described in the above quotes, the patronus speaks in the voice of the caster. If Snape would have used this method of sending a message, Harry would have recognized his voice. At that point in the story Snape was still maintaining his cover and it was not yet the time to tell Harry the truth.

  • Sirius could have used a patronus to speak to Harry several times.

    While Sirius might have technically been able to use this method of communication, he would not have had much opportunity to use it with Harry. For the first two years or so after he escaped Azkaban, we don't ever find that he had a wand so he would have presumably been unable to cast the spell. In Order of the Phoenix when he might have had a wand, it would have been too risky to use this method. Anyone around Harry at the time would be able to see the patronus and hear Sirius's voice. This would likely have alerted people to the fact that Harry was in contact with Sirius, something which Umbridge was already trying to prove throughout the year.

  • Members of Dumbledore's Army could have informed the aurors and the Order of the Phoenix about the battle in the Department of Mysteries.

    Indeed, this is presumably what Dumbledore meant in his statement to Harry in Chapter Thirty Seven of Order of the Phoenix:

    I should explain that members of the Order of the Phoenix have more reliable methods of communicating than the fire in Dolores Umbridge’s office.

    However, this magic is probably not something that the students would have been able to do. As mentioned above, more than a year later Hermione wasn't even certain that she could do it. At the time, it was simply not a possible option for them.

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    I would also add to point 2 that, had a patronus showed up and spoken to Harry with Snape's voice, he possibly wouldn't have followed it as he may have believed that Snape was trying to lead him into a trap. – Mike.C.Ford Jan 28 at 9:55
  • Via Bellatrix's answer: "[Order members] are the only wizards who know how to use their spirit guardians in this way" - I.E. Snape to Sirius. But there is no indication that Harry understood this fact from Dumbledore's explanation. What he "knew" was Snape's betrayal and murder of Dumbledore. I would argue: There's no way he would follow Snape's voice at the time. Witnessing Snape's death firsthand to Voldy was paramount to Harry's dissolution of hatred/mistrust and birth of admiration/compassion towards Snape. – OhBeWise Jan 28 at 15:34
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Order members can speak via Patronuses.

Dumbledore explains to Harry that the members of the Order of the Phoenix have a more secure way of communicating with each other than most typical channels.

“You see, when you gave Professor Snape that cryptic warning, he realised that you had had a vision of Sirius trapped in the bowels of the Department of Mysteries. He, like you, attempted to contact Sirius at once. I should explain that members of the Order of the Phoenix have more reliable methods of communicating than the fire in Dolores Umbridge’s office.”
- Harry Potter and the Order of the Phoenix, Chapter 37 (The Lost Prophecy)

This refers to communicating through Patronuses, so it’s likely many Order members can make theirs speak. J.K. Rowling confirmed on her website that the method of communicating Dumbledore mentioned is talking Patronuses when she was asked what it was directly.

So how DO the members of the Order of the Phoenix communicate with each other?

I was surprised that this particular question won the poll, because the answer (as I've already said) can be found in an already-published book (Goblet of Fire), whereas the other two questions related to book six. But perhaps I was influenced by the fact that I knew the other two questions had interesting answers – and, of course, you will shortly know the answers to those questions anyway!

Members of the Order use their Patronuses to communicate with each other. They are the only wizards who know how to use their spirit guardians in this way and they have been taught to do so by Dumbledore (he invented this method of communication). The Patronus is an immensely efficient messenger for several reasons: it is an anti-Dark Arts device, which makes it highly resilient to interference from Dark wizards; it is not hindered by physical barriers; each Patronus is unique and distinctive, so that there is never any doubt which Order member has sent it; nobody else can conjure another person's Patronus, so there is no danger of false messages being passed between Order members; nothing conspicuous needs to be carried by the Order member to create a Patronus.

And, as many of you have deduced, Dumbledore's Patronus is indeed a phoenix.
- So how DO the members of the Order of the Phoenix communicate with each other? (F.A.Q. on J.K. Rowling’s website)

So yes, it’s an ability shared by Order members.

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    so that there is never any doubt which Order member has sent it; nobody else can conjure another person's Patronus, so there is no danger of false messages being passed between Order members; Makes one wonder why we never see them use this for identity verification. Instead they resort to crude tricks like "What were the last words Dumbledore said to the pair of us?" and "What do you like me to call you when we're alone?" ans other such questions that anyone impersonating the person could probably find out the answer to. – Alex Jan 28 at 0:14
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    @Alex when you are not sure about their identity, you do not want to allow them to raise their wands in front of you… – Holger Jan 28 at 8:27
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    @Alex there’s something strange about JKR’s statement anyway. First, a Patronus can change, second, there are instances of lookalikes, e.g. Harry’s Patronus looks like his father’s, Snape’s Patronus looked like Lilly’s. That doesn’t sound like a bulletproof identification method. – Holger Jan 28 at 8:43
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    Not bulletproof, but certainly if you knew Harry had a stag and someone impersonating him conjoured an Eagle you might think something was up. What are the odds of someone's patronus being conveniently the same as the person they're impersonating? – Ruadhan2300 Jan 28 at 9:36
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    @Holger IIRC, the Patronuses speak in the voice of the messenger anyway. That's harder to impersonate (Harry might sound like James, but Snape probably doesn't sound like Lily). Added to Ruadhan2300's point, it adds up to quite a distinctive signature. – Luna Jan 28 at 11:31

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