Production Design
Making It Up
These days, when you need a giant half-goat you just hire some animators and say, "Hey, make me a giant half goat and while you're at it, a loose-skinned man with hands for eyes."
But that's not the del Toro way. Part of his entrance into the film industry was as a special effects makeup artist, so, when he needed some elaborate creatures, he decided to go with practical effects instead of getting all CGI.
He was particularly proud of his Faun design because the large, backwards-jointed legs are actually part of the costume. (That's just impressive.) The Pale Man, apart from his creepy eyes, is also pure makeup.
As an unrelated production fun fact: the woods you see in the movie were actually super dry at the time of filming. Most of the moss and other greenness you see in the forest were added in digitally. But this dryness also meant the actors weren't allowed to fire blanks because of the potential fire hazard. This added substantially to the films cost because all rounds and their effects had to be done digitally.
Worlds Apart
We've been talking a lot about two worlds: the fantasy world and the human world. But, if you think about it, there are three worlds:
1. The world of adults, which is the world of the military base and of the war.
2. The world of the Faun, which is the fantasy world's existence in the human world, (like the labyrinth or the frog's lair).
3. The world of the Underground Realm, which is the place where Ofelia is from and where her parents live (and also the residence of the Pale Man).
A big part of what makes each of these worlds distinct is the color palette used for each one. The scenes in the adult world are blue and cold—just think how often it's raining. Compare this to the green colors of the labyrinth and the Faun—green is an earthier color. It feels less harsh, but also makes the scenes a bit eerie.
Finally, we've got the light reds and golds of the Underground Realm, which have very different effects. In the final scene they're warm and welcoming, but in the Pale Man's lair they warn of his horrors and of the bloodshed.
Keep in mind that each of these colors is probably more of a bias in post-production color balance than anything else; it's subtle. But not only do they help viewers with their sense of location within the story, but they help to evoke different emotions…and to experience the events how del Toro wants us to.