Alternative Character Interpretation: Lord Asriel. Is he a callous would-be dictator? A misguided freedom fighter? An amoral ubermensch? An anti-hero? An anti-villain? Even Pullman sometimes seems to be at odds over this character.
Death of the Author: Interviews with Philip Pullman show that this is his view of how his books should be regarded ("I don't think it's the task of the author of a book to tell the reader what it means.")
Fridge Horror: It must be somewhat uncomfortable to have your inner nature projected for everyone to see, if not outright dangerous in some cases (eg the same-sex daemons = homosexuality theory)
Genius Bonus: Shortly after they meet, Will and Lyra question why "electricity" refers to what is called "anbarism" in Lyra's world, and why the stone called "electrum" in Lyra's world is called "amber" in Will's. Though neither child realizes the connection, the evolution of both terms alludes to the fact that the first observations of electricity (in our world, anyway!) came from pieces of amber imparting static charges to feathers and other small particles.
Holy Shit Quotient: In The Amber Spyglass we get a battle scene in another dimension between armies composed of, and this is all true: angels, witches, ghosts, cosmic horrors, interdimensional aliens, jet fighters, at least one Physical God as well as God himself, badass lilliputians, steampunk airships, soldiers armed with rifles, machine guns, flamethrowers and poison gas guns, monsters, animal spirits, floating fortresses, thunder and lightning, and, of course, armored polar bears.
Undermined - intentionally - by the fact that the battle is not really focused on, instead the story follows the two protagonists' brief appearance where they search for their daemons before killing God and hauling ass.
Shipping: There's Lyra/Roger, Lyra/Will, Lyra/Um...Lyra? Or Lyra/Pan. Absolutely mad, also includes Lyra/Scoresby, Lyra/Billy Costa, AND MORE! Seriously, next there will be a Shipping/HisDarkMaterials page.
Unfortunate Implications: As a Reason.com review pointed out: Its kind of ironic that Phillip Pullman labels other works like Narnia as sexist and full of class snobbery, when Will the male hero, is the one who gets to fight the most and even becomes The Chosen One in control of the mystical Subtle Knife, meanwhile Lyra's greatest feats are accomplished by "feminine" wiles like lying and manipulation. The class snobbery manifests in that Lyra is the (illegitimate) daughter of aristocrats and is vastly superior in intellect and wits than her friends in Oxford (who also happen to be the children of servants) and Will being the son of a Royal Marines officer from the beginning.