There were things about it that I need to think about. I found it interesting that in many ways the morality of the fantasy world seemed more ambiguous than that of the "real" world - at least as it was presented in the film's vision. In the "real" world the good were good and the bad were BAD. I can't say a lot about how things worked themselves out without massive spoilers, but this ambiguity seems even more interesting when considered in light of the way some people are interpreting the fantasy world as Ofelia's "escape" from the "real" world. If the fantasy world is a reflection of the internal life or wish-fulfillment of a child, you'd think it would be more black and white.
I think it's a testament to how well fantasy, when it's presented with the kind of respect for audience that this film is, can treat serious themes, in fact can get to the heart of serious themes in ways that perhaps other genres can not.