Abuse
Katurian and Michal grew up in a household where Katurian was kept safe from his parents, but where Michal was physically abused by them. The parents would allow Katurian to hear the torture they were conducting on his brother, which is its own kind of abuse, and which informed the way he wrote stories from a young age. Katurian's experience with hearing abuse led him to compose stories that often feature children being abused or killed. Thus, we see that abuse is a central theme in the play, informing Katurian's relationship to the world and himself.
Additionally, Tupolski and Ariel are abusive arms of a totalitarian regime. They are often unfair and violent in their approach to Katurian as a witness. As we learn during the course of the play, they too are victims of abuse—Ariel of his father's sexual abuse, and Tupolski of his father's violent alcoholism.
Torture
Torture is a major theme in this play. The way that Katurian's parents abused him and his brother was through the use of torture. Michal was physically tortured by his parents to the extent that he is now disabled, and Katurian has been psychologically tortured, forced to listen.
Torture is also a symptom of the totalitarian police state in which they live. Ariel uses torture in order to extract the information he needs out of the two men. Torture also makes an appearance in the stories that Katurian writes, particularly in the story of the Jesus Child, whose parents subject her to all of the tortures that Jesus faced at the end of his life.
Storytelling
Katurian writes children's fairytales in hopes of becoming a famous writer, but his work is incredibly dark and twisted. He writes about murder and sadness, and the stories have such a profound effect upon his brother that he kills children in ways inspired by the stories themselves. While Katurian suggests that stories do not have the power to enable violence, this is disproved when we learn about Michal's deeds and his inspiration for them. Thus the play engages the power of the written word, its ability to inspire people to good or evil.
Storytelling is immensely important to Katurian, to such an extent that he is happy to die so long as his stories are preserved. In this we see that narrative and storytelling are more important than living for the young writer, an essential part of existence and making sense of it.
Moral Ambiguity
The play is extremely morally ambiguous and asks the audience to question the nature of morality. Katurian kills his own parents, but only because they were torturing his brother. Ariel tortures his suspects, but only because he is passionate about protecting children from abuse and molestation. Katurian then kills his brother, but only to save him from a horrible execution. McDonagh presents many ethical scenarios that are not completely black-and-white, but more complicated.
Katurian's stories also present a morally murky territory. Does his capacity for thinking up horrifying narratives about children make him a bad person, a pervert, or an abuser? What is the moral obligation of the storyteller?
Legacy
The survival of his stories is more important to Katurian than his own survival. He makes a deal with the cops that they will preserve his stories if he confesses to the crimes. In this we see that Katurian's relationship to writing is as much about legacy as it is about the joy of writing. He wants his stories to outlive him, to continue on in his place after he has disappeared from the world.
Suicide
The title of the play refers to one of Katurian's stories, "The Pillowman," about a large man made of pillows who visits young children who are destined to have horrible lives and convinces them to commit suicide to spare themselves the tragedy of living. It is the kind of dark and twisted tale that is typical of Katurian's repertoire, and is not easy to reckon with on a moral level. The theme of suicide is not an especially central one, but it is important to the titular story, a story that suggests that some people are doomed to tragic existences and would be better off ending their lives.
Loyalty and Brotherly Love
While Michal and Katurian have faced unspeakable hardships in their lives, and Michal has been rendered disabled by mistreatment at the hands of their parents, they are very close and supportive of one another. Michal believes wholeheartedly in Katurian's talent, suggesting that he will one day be famous. Likewise, Katurian is fiercely protective of his brother, and wants to do everything he can to help him, even after the shock of learning that Michal committed the murders he is suspected of having committed.