Death
J.K. Rowling stated that the primary theme of the series is Harry dealing with death. This is more prevalent in the Deathly Hallows, since many people died in the Battle at Hogwarts.
Evils of Racism
J.K. Rowling has stated that the series can be seen as an extended argument for tolerance, "a prolonged plea for an end to bigotry." She does this by portraying Ministry of Magic as bureaucratized, and through the oppressive measures taken by the Ministry of Magic in the Deathly Hallows. For instance, making attendance at Hogwarts School mandatory and the "Mudbloods Registry" that requires all Muggle-Borns to register with the Ministry.
Fear of Failure
This is seen when Ron destroys the locket horcrux. When the horcrux "attempts to fight back" it plays a scene for Ron, to stop him. This scene personifies Ron's fear of failure by being overlooked because of his brothers and Harry. The horcrux shows Ron this fear by having Harry and Hermione's likenesses say horrible things. For example: Ron's mother didn't want him, she wanted a daughter; Ron's mother would have preferred to have Harry has a son; Hermione prefers Harry to him, etc.
Immortality
Voldemort believed he was immortal, until he realized someone was hunting the horcruxes. Dumbledore warned Harry in the Half-Blood Prince that a time will come when Voldemort no longer let Nagini leave him, which means he knows he is losing his grip on Immortality. Dumbledore also warned this would make Voldemort more reckless and dangerous.
Illusion of Power
Throughout the series, Voldemort has struggled to regain power. He has the illusion he has regained it in the Deathly Hallows with the Elder Wand. He believes the Elder Wand will give him the power to defeat Harry, which is an illusion. The Elder Wand could not belong to Voldemort because he did not win it or kill it previous owner who disarmed Dumbledore, Draco Malfoy not Servus Snape. Therefore killing Snape did not change the wand's loyalty, but taking Draco's Wand from him in a dual at Malfoy Mannor change the Elder Wand's alliance from Draco to Harry. This means the Wand would never have given Voldemort the power to kill Harry, since wands will not kill their owners and Harry became its owner.
