Without seeing the second and third films (or reading the books), you lose out on a LOT of the subtext.The guy who spoke to Harry from the fire in the fireplace? Key character in the third movie.
"Wormtail," the man who was assisting Voldemort in his reformation was a key character in all of the films, it turns out... only he "changed form" in the last film.
I do have to admit that if I hadn't read the book, I would be lost a number of times in this film -- even having seen the first three films.
There are a lot of small vignettes in the film and items filmed that are there certainly to appease the book reader, but which would be completely missed by the person who only sees the movies.
Still, I loved this film. 
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"Treat the Earth not as if it was given to you by your parents, but as if it was lent to you by your children." - Kenyan Proverb
"The power of accurate observation is often called cynicism by those that do not have it." - George Bernard Shaw
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