I really hated Dobby when I read the books, but I hated Dobby somehow even more when I watched the films. Besides The Chamber of Secrets unfortunately having the highest Dobby-to-No-Dobby ratio, it's probably also my favorite.
For me, this problem also applies even to the earlier books, especially insofar as the series predominantly takes place at a school of magic where students supposedly make life-long friends, grow up, and study/learn magic. You know, normal school and coming-of-age stuff. With the exception of The Goblet of Fire (the film of which is both strange and kind of horrendous for my tastes - big surprise when you hire a new director that didn't watch the previous movies or read the books and who you then ask to adapt the wackiest and most off-beat entry), I feel the movies do a much better job than the books of conveying all of that than the books did, which doesn't make a lot of sense given how easy it would be to just...write more stuff into the books. How precious little time is actually spent in the classroom learning or doing just normal school/friend stuff versus "Harry didn't have a good time in Divination and Potions with Snape proved to be no better" and then we're suddenly into the next month is a bit bizarre. The only spells the series ever mentions characters learning are always the exact ones that will be needed for the plot to function without something we've never heard of or seen before just suddenly appearing and being used. Most characters outside of the core cast which should in theory flesh out the world feel like they're only mentioned in brief, vague asides that aren't even actively written but are instead just passive descriptions of what they said or did. At times, reading those books almost feels like they were explicitly written to be turned into movies. Despite their issues, I do think the first three to four-ish books are pretty fun - heck, even movie 4, as much of a disaster that constantly goes off-style and off-script as it does, has its moments. That changes in a very bad way with book 5, and...
In film The Order of the Phoenix's defense, I think the book is way worse than the film, which you kind of allude to later in your post. I expected the movie to be pretty unbearable because of how awful the book was (it does not help that Harry, whose eyes we see everything through, becomes an absolutely unlikeable bastard during this whole book, though I'll blame it less on him as a character and more on all of the idiotic circumstances that start at the end of The Goblet of Fire which Rowling wrote), meanwhile I was looking forward to film The Half-Blood Prince because while still very messy, it had been a hugely welcome and much more enjoyable respite compared to The Order of the Phoenix. To my surprise, I got almost nothing out of movie The Half-Blood Prince while I felt movie The Order of the Phoenix did about as well as it could to minimize how atrocious its source material was. I guess the flipped expectations helped the one I didn't like and hurt the one I did.