In the seven books, flying is an ability we only see from Voldemort and Snape. Why is that so? and How do they do that?
Moreover, why couldn't anyone in the Order of Phoenix fly?
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Because, in the wizard world, flying is mostly a leisurely activity. When you can apparate, you do not need to fly. Broomsticks are good enough for that. Simply put, flying consumes too much time.
The Floo Network or the Knight Bus are a few other means of transport. Much slower than apparition, but significantly faster than flying.
Quidditch Through The Ages states on its first page that no wizarding spell has been invented that allows a wizard or witch to fly unaided.
It seems likely, therefore, that the spell must be a new one, dating to some time during the series. We know from HBP that Snape was an inventor of spells, he must have figured out a way to do it. Voldemort likely imitated him. It could have been the reverse (Snape learning from Voldemort), but likely one learned from the other. So, that seems ultimately to be the answer.
Most likely, the other answers about it not really being required contributed to the fact that the spell hadn't been invented, and thus that no one from the Order really cared to try it out.
In the books it's implied that flying without any magical instrument or creature is a feat that takes a lot of skill to acquire, more so than Apparition (which is difficult and dangerous enough that many wizards don't bother). Voldemort would have considered it a point of pride to be able to fly "without broom or thestral".
In the movie, certain movements described as Apparition in the book became less instantaneous, while others were pretty accurate. The difference is almost always for dramatic effect; the Death Eaters fly around in plumes of black smoke, while the Order members fly around in white veils of light. The very same effect is used for Voldemort and Snape in the instances they were said to simply fly, batlike, in the books. So, in general, it becomes an easier feat in the movies because it looks cooler for magical fights to be fought in the air.
Q: So would that work the same for brooms? Would more advanced wizards/witches not need a broom to fly?
JKR: Exactly. Wands and brooms (and flying cars) are tools that channel magic. The most gifted can dispense with them.
Q: Are there many wizards/witches at Hogwarts who can do magic and fly without wands or brooms?
JKR: No, there's a cultural tradition of using wands and broomless flight is (as you might imagine) very risky!
I believe Voldemort created a way to do it, probably through the use of dark magic, remember he said he pushed magic to its limits... If anyone would have found a way to, it would have been him. Remember he spent years out of the public eye in remote places performing experiments and magical transformations that Dumbledore theorized altered and deformed his appearance, along with his Horcruxes.
Once Voldy learned and mastered it He probably taught it to his closest lieutenants like Snape and Bellatrix Lestrange. Bellatrix claimed to have learnt Dark Magic directly from Voldy himself... However people like Bellatrix who tended to get distracted easily might not have chosen to use flight; she didn't need to, Apparition or floo worked for her. Snape HAD to use it to escape Hogwarts since there were anti-Apparition charms on the place and he had no other means of escaping during his sacking. As far as I know, he was not an Animagus like Pettigrew or McGonagall, so he couldn't change into a small animal and run away.
Flying seems like a spell that one would mainly use to intimidate or terrify an enemy through your foreboding presence in the sky more so than being the most practical means of getting from one place to the other. Good witches and wizards would never intend to use their presence in the air to intimidate or terrify others, therefore Dumbledore, McGonagall and the others would have little to no use for such a spell.
Voldemort of course used it during the Battle of the Seven Potters, to Apparate you have to have a clear destination in mind, such as Hermione Apparating herself, Ron, and Harry to a forest where she used to go camping with her parents since their Grimmauld Place hideout had been compromised. You can't Apparate to a random place in the sky, and as independent as Voldemort was he would definitely not wish to rely on objects like broomsticks which could be destroyed or compromised by various means. Plus flying would prove Voldy was an extremely powerful wizard, unlike any other, as no one was able to figure out how to do it without the aid of an object, until him.
It would seem that unaided flight is something that powerful wizards and witches can achieve through practice and the exercise of strong magics.
It would also seem that Voldemort and Snape aren't the only ones who can do it.
(warning - Cursed Child spoilers)
SCORPIUS: Does it matter? Which way do you think?
DELPHI rises up after them. She’s flying, and without a broom.
ALBUS (astonished): You’re not — even on a broom.
DELPHI: Brooms — such unwieldy, unnecessary objects. Three minutes gone. We have two minutes left. And you will do what you’re told.
Harry Potter and the Cursed Child
In DH McGonagall said that only Voldemort and Snape learned to fly without any broom, which is a rare hard skill, so I guess it requires being not only particularly powerful as a wizard, but also attitude. Dumbledore was as powerful as Voldemort and Snape as a wizard, they are probably the most powerful ones in the series, but each one has got their own attitudes...Dumbledore just didn't have this attitude. In fact, given that Daumbledore was interested in power and in the the Dark Arts when he was young, I don't think it's just something he never wanted to try...probably he tried, but he didn't have this specific inclination. it's like occlumancy..Volemort was known as the most powerful legilimens and still Snape fooled him with his Occlumancy skills because Occlumancy and Potions are his main inclinations.
Attempts to fly unaided have been made by wizards since ancient times. Unaided flight of a human being, however, was long considered a magical impossibility.
Sometime prior to 1997, Tom Riddle succeeded where other wizards had failed and managed true flight. He first publicly showed off this ablity during the Battle of the Seven Potters, using the spell to great effect and almost managing to defeat Harry Potter if not for an odd reaction with their wands. He also taught this spell to Severus Snape, who used it to safely escape from Hogwarts shortly before the Battle of Hogwarts. With the deaths of Snape and Voldemort, knowledge on how to perform this spell may have been lost forever.
So Voldemort is the only wizard to have figured out how to fly, and he only taught Snape. All this from the Harry Potter wiki: http://harrypotter.wikia.com/wiki/Unsupported_flight
I don't have the book, but I also remember after the battle of the 7 Potters, when they get back to the Burrow Harry and Ron are freaking out together about how Voldemort can fly. It's clearly not a common thing.