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1]: this is the rose from the fable Ofelia tells her unborn brother. As the story goes, it provides the bearer with eternal life, but sits withering because man's fear of death keeps him from accepting the price of death which must be paid for it. It may also be an allusion to the rose from the Empyrean in the Divine Comedy, which symbolizes the love of God.
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2]: the core message here is that behaving ethically requires the willingness to accept pain and suffering as the cost of doing good. This pain and suffering -- the tax imposed by the thorns/death in the rose fable -- is now presented in this maternal imagery as the blood associated with childbirth. The Christian image of the mother is invoked as a figure who echoes Jesus in giving life to others by willingly assuming pain and suffering. And in this light, note how Ofelia first rejects motherhood out of an unwillingness to pay the price, only to reverse her choice at the climax of the film. And through this reversal, Ofelia becomes a symbolic mother-figure to her infant brother by paying the price thematically required through her own blood sacrifice.
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3]: when Ofelia asks Mercedes if she considers her mother beautiful, this reflects a childish concern for her own beauty that Ofelia overcomes most visibly through the first task which leads to the destruction of her pretty dress and shoes. We return to symbolism of clothing reflecting true beauty only at the end of the film, which presents Ofelia resurrected and possessed of more beautiful clothing than she before gives away.
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4]: for two examples, see
http://www.sdentertainer.com/arts/pans-labyrinth-a-psychological-analysis or
http://monsterawarenessmonth.wordpress.com/2011/02/28/pans-labyrinth-review-2.
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5]: the captain is shown wearing glasses at one point, but these are sunglasses which obscure rather than illuminate. His vision is - thematically - cloudy, just as his behavior is - as seen through the mirror - ultimately self-destructive.