Luna is an amazing friend. After Sirius died, Luna was the only one who could comfort Harry. She told him about her own mother's passing "my mother. She was a quite extraordinary witch, you know, but she did like to experiment and one of her spells went rather badly wrong one day. I was nine." - Luna Lovegood. This made Harry feel better. Luna talked to him until she went to have pudding, after she left "the terrible weight in his stomach seemed to have lessened slightly." -Harry Potter realizing after Luna leaves.

Luna always calms Harry down and helps him when he needs it. And let's not forget that she made Harry laugh so hard at Slughorn's Christmas party that his drink came out his nose!