Harry doesn't know it, but Voldemort has one goal at the beginning of Order of the Phoenix—to get his hands on a prophecy. Here's what the big bad is so desperate to hear:

PROPEHCY: The one with the power to vanquish the Dark Lord approaches. And the Dark Lord shall mark him as his equal but he shall have power the Dark Lord knows not. For neither can live while the other survives.

Sounds ominous, right?

Basically, it means that way back when Harry was an itty bitty baby it was predicted that he would be the one to stop Voldemort ("the one with the power to vanquish the Dark Lord approaches"). By attacking Harry, Voldemort marked him "as his equal" (Harry's scar). Harry also has a power that Voldemort just doesn't get (the fact that his mom died to save him). That's the power of love.

So, this is intel that Voldemort would really like. Anytime you get defeated in battle by a toddler, you're gonna wanna find out why. The prophecy is a symbol of secret knowledge. Voldemort thinks if he has this info, he can figure out how to defeat Harry this time around.

Good luck with that one, Voldy.