Update (2/22): For reasons unknown, the Potter Index is no longer available.
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David Haber at Wizard News has created a searchable index for all the HP books:

The Potter Index has been created by Harry Potter fans for Harry Potter fans, students and teachers, to assist them in their Potter debates and studies. The Potter Index contains a complete catalog of every word and phrase in every Harry Potter book. This site does not display the Harry Potter books in any way. What it does do is let you enter specific search criteria and tells you exactly where this text can be found in the Harry Potter books.

Where in the books does Dumbledore mention his scar that resembles a map of the London Underground? (Click here.) Who's Stubby Boardman? (Click here.) Where is McLaggen first mentioned? (Click here.) That's only a small sample of what you can learn with the help of the Potter Index.

Bloody brilliant!