Ophelia's story isn't about magic of fairies or any of that. It's about religion. Think of her as a prophet. She has visions: the ogre, the giant frog, the fan, insects as fairies. She also has some mystical powers resulting from these visions. Those powers seem to tie in to various classical items: the chalk and the mandrake specifically. The fact that other people don't see her visions don't mean they aren't necessarily real but it does mean that what she's seeing aren't physically present for other people. I think she was in a second story or at lowest first story room. Someone would have noticed the ogre in the basement at some point if it was physically real.
So, what about the ending? I argue that she's dead. She has a near death experience immediately beforehand. That's a different sort of vision, but I think it still falls in that general category. If the vision is accurate it means that she's earned herself a pretty swank afterlife.
So, her powers seem real but are her visions accurate? I don't think the movie commits either way. Up to you whether you believe in it or not. I think it probably works better that way even.
So, if my reading is correct, the movie sets up the supernatural as a world that operates at a bit of an angle to our own. Quite pointedly it offers escapism from the nasty situations which surround Ophelia. It also offers her a way to deal with some of the bad stuff that's beyond her control, notably her mother's difficult pregnancy. Even a bit aschew, religion offers the chance to positively affect the real world. Ophelia distracted the Captain with her last mission. She also poisoned him of her own initiative. I doubt she would have taken that risk without her experience with her vision-quests. All of that worked together to give the rebels a fairly easy victory at the end.
I do take lampbane's point that the whole sacrifice someone else/yourself choice is overdone. It also really didn't tie in to the real world plotline. Letting the kid come to harm was only mandated by the faun's arbitrary dictate. There was no greater good or the like being served. Anyhow, the movie clearly favors her decision. It's not like she could have gained anything by bleeding the baby. The theme is straight-forward and even uninteresting. Don't do evil just because an authority figure/religion tells you to. Since she kept by that rule, Ophelia made a positive difference in the world whether her religion was true or not.
I think the afterlife is the most straightforward reading of the ending. I think the fact that it's the "Underworld" is another signal that we're talking afterlife. Otherwise I'm not arguing that this is the only reading of the movie, just a fairly straightforward and consistent one. And it's one I find interesting. Although it doesn't explain why she picked the door on the left or was entranced or somethign by the food.
As a side note, the ending does somewhat parallel the classic child sacrifice scene, the whole Abraham and Isaac bit. God tells Abraham to scacrifice his son, Abraham grudgingly agrees, God cops out and gives him a lamb to sacrifice instead. I'm always disturbed when that story is taught uncritically. There's a good examination of it in the novel Hyperion. I need to pick up the sequal to that at some point.