Pan's Labyrinth/WMG

Ofelia is not the princess, her sibling (who is not a boy, but a girl) is.
Spoiler alert. Stay with me here.

Part 1)After the child is born, we never heard anyone say what gender the baby is in any sort of authoritive capacity. Vidal is so obviously obsessed with having an heir that he won't entertain the notion of the child being a girl (The "Don't fuck with me" scene). We never saw Ofelia check, and if the baby never left Vidal's room after the birth, we might assume that Ofelia took Vidal's assertion at face value. The only discrepensy is that at the end (and possibly once or twice earlier), Mercedes gives her memorable line in which she calls the baby "he". This could be explained away by saying that Mercedes merely wanted to be pithy, not explain that the child is a girl to the deluded man.

Part 2) The ending scene, as someone may have remarked below, smacks of duplicity on the part of the Faun. The theory: The Faun wanted Ofelia's blood to open the portal, through which he would take the Princess. He couldn't very well prick/stab/bleed Ofelia with the baby in her arms, and there is no way that Ofelia would set the child down, so the Faun wanted to grab the Princess, prick/stab/bleed Ofelia, and then leave her. This, of course, indicates that the last scene in the Fae-world is a hallucination or Imagine Spot of Ofelia's. It's in a distinctly different color tone than the other fey places; even the Pale Man's lair is a darker, burnished bronze than the finale's gleaming gold.


 * Intersting, but how does this explain Ofelia's moon-shaped birth mark? Was it just a hallucination?

Ofelia's "father" is not actually her father.
Spoiler alert. At the end of the film, after Ofelia quietly protests throughout that Captain Vidal is not her father, nor will she call him so, she is brought to the Underworld. She looks up and smiles and says, "Father." Cut to: An old man with white hair, who congratulates her and welcomes her home. Cut to Ofelia's biological mother, smiling proudly. Though it's not impossible, This Troper believes it's far more likely that Ofelia has been raised all her life by her mother and maternal grandfather, whom she calls "Papa" following her mother's example. Her biological father was never part of her life, but she never noticed or realized the discrepancy. This also beautifully subverts Captain Vidal's obsession with having a biological son to carry on his name and legacy - Ofelia's "father" carried on a legacy of love despite not being her biological father at all.

Alternately, the man that greets Ofelia at the end of the film was totally unrelated to her, just a kind, reliable man that Ofelia's mother married when she realized she was pregnant without a husband. However, he did prove to be a wonderful father and caring husband, which also subverts Captain Vidal's philosophy.
 * Or he was the king of the Underworld, her original father, who set up the portal specifically to get her back. As to why her human mother was there - well, the Faun said that she gestated in the Moon, so it's possible that the king was a Truly Single Parent and gave Ofelia's mother one of the big thrones as a reward for raising his daughter in her second life. In Celtic mythology (I think), fairyland was the afterlife, and Ofelia's mother did die quite close to the portal.
 * One interesting question that stuck with me-- if she is her mortal mother, rewarded with a crown in the land of fairies... who (and whose) is that baby? Is it a time-displaced version of Ofelia's kid brother, or have her mom and the king gotten to know each other?
 * This Troper thought that it was more of a parallel self thing. The Queen wasn't Ophelia's mother, she was the princess's mother (that is, the mother of Ophelia's past self). It just happened that her mortal mother in her final human life looked like the princess's mother. It just so happened that the King and Queen had a baby like Ophelia's little brother. Keep in mind that it was Ophelia's spirit/soul that mattered and went to what was essentially a different dimension (the fairy world).
 * This troper always took it that instead of just abandoning the Princess, the Queen takes a mortal form to watch over the various incarnations of her daughter. She couldn't bring her back to Faerie or even interfere magically, but she could act as a kind of guardian angel.
 * A Clarification: This troper was working with the assumption that both of the people who greet Ofelia in the underworld are her underworld parents, taking on a form she is comfortable with - her own parents from her mortal life. If they're fairies, they may be able to shapeshift, so why not greet their daughter in the way she would be most comfortable? In other words, he just intentionally looks like Ofelia's human "father" - who, as I said, was only her father in name (and in spirit).

Captain Vidal is actually a supernatural being, but with almost no knowledge of his true self.
Though Vidal's father is known as a military leader of some repute, almost nothing is known or said of his mother: perhaps Vidal's conception involved a sordid affair with one of The Fair Folk, or perhaps he was an adopted orphan of supernatural stock.

One way or another, this explains not only his mysterious ability to teleport from time to time, but also his high pain threshold and sadistic nature. However, since he has never learned to use his powers at anything beyond an instinctual level, he is unable to see anything magical in the area or even acknowledge his own teleportations. However, the soldiers under Vidal's command do notice, and fear him all the more for it.

Vidal's son is a some sort of supernatural reincarnation in his own right.
Not only is he carved into the same pillar which has the engravings of the Faun and Ofelia, but he seems to have little horns on his brow in the relief. If those aren't a sign of supernatural heritage, I don't know what is.

The Faun and fairy world were evil all along...
... and Ofelia wasn't really the Princess, and it really was just a fairy tale. After the way the Faun acts toward Ofelia, and all the arbitrary psychological abuse he puts her through, that was the ending I was expecting, and I think it makes more sense, even in light of the last scene. Is it possible that Ofelia's reuniting with her parents is a cruel deception that will be shattered by an intruding Hell or real death?
 * In other words, it's a fantastical version of the Spanish Prisoner scheme?
 * You're not very familiar with old school fairy tales, in that case. The Faun is not good per se from human perspective - he's wild and unpredictable - but he is a loyal servant, and even though he doesn't care much for humans, he is very fond of his Princess. This is Wild Mass Guessing, but this guess is so common it's hardly wild any more, yet the Word of God has Jossed it repeatedly, along with the "no supernatural" explanations. This troper has a considerable pet peeve towards people who choose to spoil even the most beautiful concepts with Darker and Edgier interpretations.
 * And it's not if if it's not dark and edgy already.

The supernatural creatures seen in the film are actually natives of the Cthulhu Mythos universe, and the Faun is Nyarlathotep.
Obviously, Faun/Nyarlathotep wanted Ofelia reunited with her Eldritch Abomination parents for an upcoming scheme, and he also wants her to get rid of a few potential rivals along the way: so, to stop her from going completely insane, he protected her vision with illusions of fairy-tale creatures. By the end of the film, Ofelia has transformed into some Lovecraftian horror, two out of the three rivals have been killed, and there is a portal still open at the bottom of the labyrinth; either the Apocalypse is arriving earlier than expected, or at the very least, Spain will be experiencing some demonic infestation for months onwards.
 * This troper and his friends, after discussing this very point as well as the one above it, reached the similar conclusion, namely, that the portal is not so much a portal as the seal over a Sealed Evil in a Can Eldritch Abomination that will now eat Spain. Ofelia was simply the necessary sacrifice to break the Seal, and the Faun manipulated her because the seal could only be broken by someone innocent doing rather horrible things, hence the Tasks.

It was all real, except the end.
They really wanted her brother's blood. She failed them. The final scene is a hallucination brought on by blood loss and lack of oxygen. The Faun was telling the truth all along; they just wanted a little bit of blood, and there was no need to over-react like that. Everybody in Faerieland is laughing at her. She is dead, and no-one will know once Mercedes and the others in the Rebellion are slaughtered.
 * Denied by Word of God

The fantastic elements are all in Ofelia's head; she creates them to give herself hope.
Think about it. No one else can see the creatures (neither Vidal at the end nor her mother when throwing the mandrake root in the fire noticed the faun and the mandrake's screams, respectively). The first time she sees something magical is when she replaces the statue's eye; she easily could've fooled herself into believing that caused something magical, which later led to a chance to regain her kingdom. The worse her life gets, the more influence fantasy has (at first, she is led to the faun; the faun later comes to her). She is the only one who takes any notice of the mark on her shoulder, and she only seems to notice it after the faun mentions it. No one interacts with the key she finds in the toad, and she easily could have found chalk and fooled herself into believing that a faun gave it to her. Same goes for the mandrake; she could have found a random piece of wood and simply imagined that it moved. When she dies at the end, she is actually dying: she simply imagines herself in her "kingdom", which explains why she sees her mother in there.
 * She didn't imagine her way out of a locked room.
 * She could have picked the lock, or even hid behind the door and drew a "portal" in the chalk to draw Vidal's attention as she slipped out just behind him.
 * The director himself said that the magic chalk was the only way out. Vidal never re-entered the room and ordered her to be shot if anyone else tried to enter, so she couldn't have really snuck out like that. Presumably the guards were distracted or dead when Mercedes came in, but if Ophelia was still there why would she hide? She knew Mercedes, trusted her, and would have had no problem leaving with her.
 * The mandrake did seem to have some healing powers though, since her mother got significantly better when it was used and was in great pain when it was burned. It could have been coincidence, but it seems unlikely that she would heal so much with its arrival and be hurt so much by its destruction purely by chance. Also, the director said that just because Vidal couldn't see the faun didn't mean that it didn't exist. It just meant he wasn't capable of seeing it.
 * Considering how upset and agitated the mother got during that scene, and how much her health was failing her, it could be that she overexerted herself (which was something the doctor had feared).

Ofelia reincarnates into Sarah from Labyrinth.
And her brother becomes Toby, who, in her new form, she lashes out at for assuming her rightful place in the goblin kingdom. She even has a stepmother in the future, if I remember correctly.

Mercedes made the tests when she was young, but failed
She lives next to the labyrinth. She knows about fauns. She has a younger brother. When she sees the chalkboard line on the wall near the end she immediately leads the rebels to the labyrinth.

The supernatural monsters Ofelia faces are reflections of the human monsters in the mundane world
The Captain hosts a dinner party early in the film for his two particular friends: the local mayor, a businessman who has grown rich under the Fascist government and a churchman (a bishop, in fact) who, we can only assume, sees nothing unChristian in the behaviour of the regime.

The first monster, the giant toad, is described as 'growing fat while the tree dies'. Much like a corrupt man profiteering off the misery of the war. He is the mayor.
 * Yes, a literal toad as well. The tree is also a clear and widely used metahpor to a nation or community.

The second monster, the oh-so-wonderful Pale Man, is the bishop. He lives in an ecclesiastical-looking room, has stigmata of sorts and attacks you if you eat the forbidden fruit.
 * Lest we forget, he is a children eater as well (a stereotypical paedopriest). And has no (conventional) eyes, which is once again a hint to the ancient mediterranean appearance of a "wise, old, and mystical religious community leader", this being a Blind Seer (such as Teiresias).

The third monster, in both worlds, is Captain Vidal. He's just that bad.

The Pale Man is an ironic tormentor.
His victims steal things from his table because they see that it's there and immediately determine it to be theirs for the taking. In a way, they "look" with their hands.

Ofelia will bring light to the Underworld.
The movie says that the Underworld knew neither pain nor sunshine, and that is why the princess left. Now that the princess has been to the human world, and knows of both pain and sunshine, she will be able to share either as she chooses with her people.

The Faun is...

 * A servant or herald of the king and queen of the Underworld. When they heard that Ofelia was near one of the portals to the Underworld, they sent the Faun to see if it was really their child, and to make sure she wasn't corrupted by the mortal world through various tests.
 * An enemy of the king and queen of the Underworld. It is almost certain by the end that Ofelia is their lost daughter (by virtue of her birthmark), but it is less clear if she succeeded in entering the Underworld properly by the shedding of her own innocent blood in the portal, or if the ending sequence is merely her dying dream. If it is the latter, then the Faun may have tricked her with his series of tests, corrupting her soul himself for whatever reason to prevent her being truly reunited with her family.
 * An interested third party. He is neither an ally nor an enemy of the Royal Court, but he could sense Ofelia's changeling blood, and for his own reasons pointed her on the path back home, just to see what would happen. Whether or not he succeeded is unclear, but then Fey tend not to have any long-term interest in the ways of mortals, so at worst he might be like, "Oh, my toy broke," and then wander off.