Moody, Tonks, and Sirius (in his dog form) accompany Harry to Platform 9 ¾ at King's Cross Station.
Harry and Sirius duck off to the side to talk even though this is most definitely risky. If someone recognizes Sirius, he could be sent back to Azkaban.
Sirius gives Harry a picture of the original Order of the Phoenix and they talk about whether or not there's going to be a war with Voldemort. It's bittersweet.
Later, Harry sees a vision of Voldemort in a black suit standing on the train platform. It's creepy, but it's only a dream. Dreams can't hurt you, right?