see the appendix of this paper for understanding haar measure.."Determinantal point processes in the plane from products of random matrices"
http://www.imstat.org/aihp/accepted.html 

intuition for haar random orthogonal matrix:   choose a vector randomly from unit sphere in R^n( uniform distribution on unit sphere). Thats ur first column. Now for second column, choose a vector randomly from unit sphere in n-1 dimensional subspace orthogonal to first column. similarly for third column, choose a vector randomly from unit sphere in n-2 dimensional subspace orthogonal to first two columns...and so on....