Acceptable Political Targets: Fascists/Francoists. Justified in the number of atrocities committed during the Spanish Civil War and afterwards.
Alternate Ending Interpretation: Was Ofelia just playing along and the ending of the king and queen of the underworld saying that because she spilled her own blood rather than that of an innocent, she passed the final test all in her mind, did it really happen, or was it merely her version of heaven?
Epileptic Trees: In order to enjoy the film at all you have to assume only innocent little girls can see the Faun, even though it's never stated in the film (but confirmed by Word of God). It only becomes important at the very end, but if you can't get over this little hiccup, damn you're in for a disappointing finale.
Word of God has confirmed that his idea of Pan is far too wild and dangerous to serve in a role of the Faun (Which makes sense, considering the actual mythology behind the God Pan, who is often described as hypersexual or even paedophile).
Moral Event Horizon: Vidal's crossing of it is one of the most horrific scenes in the entire movie. It is also one of the first centered on him. And he only gets worse from there.
Narm: The Pale Man putting his eyes in his hands, and the King of the Underworld (a.k.a. Ofelia's dad) being an old man with a white beard could fit.
Nausea Fuel: The poor sap getting his face beaten in by Vidal comes to mind, and that's just the tip of the iceberg.
The sickening sound as the Doctor begins to cut into the injured man's leg with a saw...
The first task, with the frog in the tree. All of it.
One-Scene Wonder: The Pale Man only shows up once, yet for many people, he is the most memorable thing in the movie.
Squick: Both supernatural (the Pale Man) and mundane ( Captain Vidal getting his cheek cut open and subsequent sewing it back together). Even if the High Octane Nightmare Fuel doesn't get to you, it's profoundly disturbing.
And to add to this Squick/High Ocane Nightmare Fuel factor: After Vidal provisionally sews together his cheek, he takes a quick gulp of whisky (or some other high-percentage alcohol). He does not manage to swallow it all at once, and there is a painful sequence, where whisky comes flushing out of his sown-up cheek. And one can only imagine the intense pain of having an open wound at the mouth flushed with concentrated alcohol, in this case a searing bitter. Strangely enough, this short moment occurs without much blood spill, which in fact makes it all the more... Squick.
What an Idiot!: Much like many a child fairy tale protagonist, Ofelia suffers from Genre Blindness by eating from the forbidden feast. Even after she is told repeatedly not to eat from it, with her fairy guides trying to stop her from consuming the grapes, as well as the Pale Man sitting right there at the head of the table. Though, it may have to be taken into account that she hadn't eaten in at least a day and since it was faerie food, it could have very likely been enchanted to be irresistible.