This just occured to me, and i had to get it down before i forgot it.
Luna can see the thestrals because she saw her mother die. apparently in some accident, i believe?
Luna is also responsible for saying some weird stuff, yet is oddly honest.
When thinking about this, i thought, i wonder if Luna's mother worked in the department of mysteries at all?
i then wondered if perhaps the accident her mother had was not in fact fatal, but involved time...we see the egg grow and hatch to be a bird, and then back again...
what if Luna IS her 'mother'. she was experimenting with time, as an unspeakable. it went wrong, and left her younger, her memory erased to some extent, and due to the nature of her work, the Magical reversal squad weren't called in.
For me, this theory explains Luna's knowledge of the odd things, that seem ridiculous to us, because we know she often speaks 'uncomfortable truths'. She seems oddly familiar with the department of mysteries, in my opinion, and whilst she too can hear the whispers of the veil, she doesn't seem as transfixed as
Harry had been.
She also comments on what could be in the locked room that melted
Harry's knife, yet no-one asked her to elaborate.
Her involvement in the OotP speaks to me, as if she will be important later on. As if she will be able to help
Harry out with a few little mysteries.