I've seen this movie, but only once, which I think wasn't enough for me, since I was not able to fully understand some of the parts..
In some ways, Pan's Labyrinth is quite reminiscent of the story of the Bridge to Terabithia - the story of submerging one's world into the mind's imagination/overcoming reality with one's fantasy. The significant difference is the setting: Bridge to Terabithia's story happens in a modern setting, while Pan's Labyrinth is set into the past in a civil war, if I remember correctly.
Pan's Labyrinth was a good movie for me, not bad and not overwhelmingly fantastic either. It's a movie that can make one think, and depending on the viewer, it could be a happily-ever-after story or a story of tragedy.
To those who haven't watched it but are planning to, be prepared for some minor blood and gore. The story is set in a war, after all, but the movie does not do anything to censor some bloody violence; you can very well expect some elements of civil war such as torture, etc. It's not ultimate blood and gore, but it's just that it's not much of a children's movie as most might expect.
All in all, I think it was still a worthwhile movie for me. It shows how even a little girl can find the strength to hold onto in the midst of a world she can't understand, even when reality seems to go against her. In the end, you'll realize that you have the strength inside all along to do what is right.