Sorry I'm late to this party! Recently beat SotC and it may have displaced a couple games that I usually claim are the best ever made. Here's a quick analyzation, with MASSIVE SPOILERS.
Shadow of the Colossus as Fantasy: The very first theme that strikes us with power in SotC is that of fantasy. The world and characters are foreign, their interactions even moreso. The rules and history of the story are left out (the sword, Dormin's true nature, the relationship between the sword and Dormin, the relationship between Wander, Mono, and the shaman) deliberately to enhance our sense that this world exists on its own and we get only glimpses of it. While exploring the world we see glimpses of a culture or society that seemed to have rules that we will never know. Their structures at one time had purpose but they are now dilapidated and functionless. Their history is as vital to the plot as any other element, but it remains mysterious throughout. The game is true fantasy in that its plot is moving and universal even though its details are tantalizingly absent.
Shadow of the Colossus as Mystery-Narrative: Along with the mysterious "rules" of this fantasy universe is the mystery of the plot. (Who are the Colossi? Where did they come from? Who is Dormin? Who is the Shaman?) Satisfactorily, this mystery gets resolved for us in the end, but as we progress through the game we come to question the character's motivations and Dormin's. In the end we discover that as true as Wander's motivation was, Dormin's was evil and he took advantage of Wander. Absurdly, the game does absolutely NOTHING with its plot for the entire game. We are given a set up and the mystery grows as things are NOT explained. Because of Dormin's claim that destroying the Colossi may cost Wander a great deal, we race to the end to find out why. This is masterful Hitchcockian suspense storytelling that involves us as players since progress is in our hands. This mystery narrative, therefore, demands the participation of the player to keep its suspense. As a film, SotC would fail.
Shadow of the Colossus as Religious Manifesto: Wander is a religious rebel - Mono has been sacrificed, but he rejects this typical "mortal" way of death and dying, and demands a resurrection in defiance to the Shaman. He believes he is taking advantage of a great God, Dormin, who merely wants to destroy lesser gods around him, and each Colossi represents the Japanese conception of a god. That each one has a weak point is also typical to this pagan view, since each is ultimately fallible, nothing more than powerful men/animals. At first SotC seems to be a story about man conquering God, when in reality it is about a Demon exploiting man at the expense of divine order. If there is a real God, or a group of benevelont Gods in this world, we never hear from them. Perhaps Dormin was this benevolent God himself, but breaking him into 16 pieces was an act of defiance by his people. Or perhaps he was an evil being, but this seems to go against the existence of an altar that he inhabits, known as The Shrine of Worship. Whatever the interpretation, SotC is constantly bringing up questions about the nature of man and God, particularly with Wander absorbing the spirits of the Colossi and eventually becoming the vessel for Dormin's rebirth. This is a quintessentially pagan perspective, brilliantly developed by the game's story and gameplay.
Shadow of the Colossus as uCatastrophe: uCatastrophe is a term borrowed from Tolkien. It is the opposite of a catastrophe which is a terrible event that happens unexpectedly. A uCatastrophe is a glorious, sometimes divine event that also happens unexpectedly. Tolkien's basis was the death of Christ, which in biblical terms was Satan's doing, but God ultimately used, even planned it for the redemption of his people. In this sense, Dormin's exploitation of Wander was an evil act, but since the Shaman destroyed Dormin and left a baby (meanwhile Mono is revived, and Agro is still alive!), it seems that a greater force was working here. The ending indicates hope for a new world to grow on this once forbidden land - perhaps Dormin's work of evil will actually bring about prosperity? I need to play Ico and find out.
Anyways, those are my thoughts. Anyone else who has played the game care to critique or comment?