
Pan's Labyrinth is a winner of 3 Academy Awards--"Best Cinematography," "Best Art Direction," and "Best Makeup." It seems to me that only the achivements in the film's 'form' were greatly appreciated. After seeing the film, I was quite surprised at the result; I would have thought that it should have been awarded with a few other honors for its 'content.'
It looks like a gothic fairy tale, but it's not just that! Rather, it's a juxtaposition of Postwar Spain/the Labyrinth, Adults' World/Children's World, Confinement/Escape, etc. Do the Labyrinth and the faun really exist? Maybe they do, and maybe they are just Ofelia's dreamy products that do not exist. The fairies and the assigned missions altogether could be thought of as the powerless girl's hope for a way out of cruelty and meaninglessness.
Her death lends itself to ending the film as a token of redemption. And if you would rather deem it to be a fairy tale, then she finally gets the last mission done and will live a happy life hereafter as a princess in the fairy world. Through the juxtaposition, an audience can easily see the contrast and the tension.