Marketing can really make or break a movie.
Pan's Labyrinth is a well-done tragedy of a little girl trying to save her sanity, in a horrible situation, by indulging an active & creative imagination. A great deal is made of the horrible situation, with a few powerful moments depicting the saving fantasy.
Unfortunately, the viewer is probably watching this because the marketing of it depicts little more than the fantasy world, which one comes to expect a great deal of. While marvelous, there is little of it - in fact, most of it is seen in the previews and the box cover, and the indicated few minutes is spaced with long periods of dark, dreary, tragic warfare and nasty interpersonal conflict.
For what it is, Pan's Labyrinth is quite well done. It's just not what you were looking for when you hit "play".