In an interview on the Prisoner of Azkaban DVD Rowling mentioned that the director Alfonso Cuarón had unwittingly foreshadowed developments in then unreleased HP books (and of course would not elaborate at the time). To what was she referring?
Apparently, J.K.Rowling never told the answer.
Still, I recommend this detailed analysis written by one of the fans. It highlights a number of key scenes:
- Snape protects Harry from werewolf (a clue that Snape must protect Harry at whatever cost);
- Lupin tells more about Lily;
- someone mentions falling from the Astronomy tower;
- obvious Ron/Hermione clues.
For more detailed explanations, see the link above.
Additionally, I found another plausible answer in this thread:
Draco is a bit less "tough" in the movie than in the book. He cries a little after Hermione hits him, which might foreshadow the crying-in-the-bathroom scenes later on.
Really late, but the answer to this was always so obvious to me! At the end of the movie Sirius says something like, "the ones who love us never really leave us. You can always find them here", and places his hand on Harry's heart meaning they're a part of him. And in the last book in the scene in the forbidden forest where Harry uses the resurrection stone, Sirius says something along the lines of "we're part of you". In the last movie even, Sirius points to Harry chest.
Late answer but anyway. I have a few from when I watched it recently. Really gave me the shiver down the spine...
When Harry successfully casts his Patronus during his lesson with Lupin, Lupin asks what memory he chose. Harry says that he was talking to his parents. Just talking. "I don't even know if it's real. But it's the best I've got." Okay.. Resurrection Stone scene at the end of DH2 where his parents appear along with Sirius and Lupin. OMG!!!!!!! DID JO KNOW THIS?!
When Harry is flying Buckbeak with Hermione after casting the epic "EXPECTO PATRONUMMME!!!!", he says that he knew he could do it because he had done it before. Was Harry able to pull his final act of courage, sacrificing himself to Voldemort in DH2, because he unconsciously knew that he had defied death once, and could do it again? JO!