Dan has highlighted probably the most important themes and ideas. There are a couple of others that I think also resonate though probably more in a secondary way that one is that fundamentalism of any kind is to be avoided, whether it be fundamentalism of the ministry who is embodied in particular by Umbridge who is only to see her way of doing things and Fudge too, only their point of view and being completely not open to other points of view. So I think that whether it be the ministry or Voldemort and Death Eaters absolutely its something that is not a very good thing.
And the other is the power of love, because ultimately in this film it is Harry's ability to love and the strength he has gathered from being loved that enables him to vanquish Lord Voldemort.