For philosophy buffs (this shit has to be useful for something, right?) Marko's phenomena vs. real maps pretty easily onto Nietzschean metaphysics. You have your environment, and you have the lies you invent to make sense of it, and the one who lies most beautifully runs the show. Also, it's hard not to interpret the moment when Jovian first sees sunlight as a rework of Plato's allegory of the cave. Both scenes are beautifully accomplished. Through all the fun and dancing, it's those bits of genuine feeling that will stick with you.
I'm not quite able to give the commentary Kusturica's film deserves, partly out of ignorance of the particular history the film explores in fairy-tale and allegory. Others will have to judge whether the portrayal is accurate and responsible. From where I'm standing (as I said, ignorance), the faintly nationalistic spirit of the final lines had an uncomfortable ring. But then again, my feeling is that Kusturica is pretty ambivalent about everything he is showing us. The last scene is a fantasy going on in Cerni's head, let's not forget. And Cerni is a dimwit who has no qualms about forcing women to marry him and kills his own son out of negligence. There are no heroes in this tale, no matter how much the three leads resemble stock noir characters (the unyielding oppressed fighter, the inscrutable villain, the femme fatale). And it's quite an achievement portraying such corruption in a sympathetic way, and on top of that all the arch cartooning and slapstick. I swear this film shifts tone about 20 times.