Lets start at the beginning. JKR first stated that ghosts and death would be explained in this book. Did she? Many of you would say its vague...but, is it?
Out of desperation, Harry went to Nick to determine why some people become ghosts?
"'...I chose my feeble imitation of life instead. I believe learned wizards study the matter in the Department of Mysteries'" (Order of the Phoenix - US) pg.861
When Harry met Luna in the hallway on the last chapter, she made a reference to her mother.
"I still feel very sad sometimes. But I've still got Dad. And anway, it's not as though I'll never see Mum again, is it?...in that room with the archway, They were just lurking out of sight, that's all. You heard them." (Order of the Phoenix - US) pg.863
So what does this tell us? Well first off JKR is telling us that Luna can see spirits (not necessarily just ghosts). Secondly she hinted that the room with the arch has some connection with her mother. As she can still see her in some form. What else does this tell us? Well it also tells us that Luna's mother is an "Unspeakable" from the Department of Mysteries.
I'm guessing that the room that the visited, was some sort of portal for the dead, or has some sort of direct relation with death. Hermione felt an ominous feeling upon entering the room. Luna and Harry on the other hand understood...well Luna more than Harry
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I'm guessing Harry would probably traverse the world of the dead to find some answers. And this room will probably be very likely be linked.
Harry and Luna seem like they would be together as a love interest.
Tell me what you think of my hypothesis.