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In Harry Potter and the Order of the Phoenix, Fred and George Weasley acquire the ability and the rights to teleport. We can watch them teleport easily inside the Order's headquarters, which leads me to assume that the teleportation is harmless and free.

If teleporting is an easy and harmless way of moving, why do the wizards keep using brooms or keep walking? Wouldn't it be easier for them to teleport?

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Teleporting, i.e. apparition, is not harmless and free. It can be quite complex. However, the books reveal this in much more detail than the films.

As remarked in The Goblet of Fire:

Harry knew Apparating meant disappearing from one place and reappearing almost instantly in an another, but he had never known any Hogwarts student to do it, and understood that it was very difficult."

This was shortly followed by this exchange:

“You have to pass a test to Apparate?” Harry asked.

“Oh yes,” said Mr. Weasley, tucking the tickets safely into the back pocket of his jeans. “The Department of Magical Transportation had to fine a couple of people the other day for Apparating without a license. It's not easy, Apparition, and when it's not done property it can lead to nasty complications. This pair I'm talking about went and splinched themselves.”

Everyone around the table except Harry winced.

“Er—splinched?” said Harry.

“They left half of themselves behind,” said Mr. Weasley, now spooning large amounts of treacle onto his porridge. “So, of course, they were stuck. Couldn't move either way. Had to wait for the Accidental Magic Reversal Squad to sort them out. Meant a fair old bit of paperwork, I can tell you, what with the Muggles who spotted the body parts they'd left behind....”

Harry had a sudden vision of a pair of legs and an eyeball lying abandoned on the pavement of Privet Drive.

“Were they okay?” he asked, startled.

“Oh yes,” said Mr. Weasley matter-of-factly. “But they got a heavy fine, and I don't think they'll be trying it again in a hurry. You don't mess around with Apparition. There are plenty of adult wizards who don't bother with it. Prefer brooms—slower, but safer.”

As the highlighted sections show, some wizards simply prefer a slower, safer method of travel, hence broomsticks or walking.

Finally, as the Pottermore website remarks:

No shortage of Floo powder has ever been reported, nor does anybody know anyone who makes it. Its price has remained constant for one hundred years: two Sickles a scoop. Every wizard household carries a stock of Floo powder, usually conveniently located in a box or vase on the mantelpiece.

So there are plenty of other, safer transport methods than just teleporting.

In my view, the most likely reason the film shows so much apparition it allows quick transitions from one place to another and is very "magicky", involving disappearing in one place and appearing somewhere else - much cooler than showing someone on a broomstick covering the same distance.

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    Regarding your last paragraph: In Order of the Phoenix, and with Fred and George specifically, the reason the film shows so much apparition is because that's what happens in the books. That's the kind of people they are, though; they've had to control their magic outside of school for so long that they can't resist the opportunity to use it for everything - even when not using magic is the better option - once they're allowed. – Anthony Grist Feb 9 '16 at 15:14

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