The Pillowman, though a dark comedy, sends an ironically happy message. This is reflected in two main ways: one, with the resolution of Katurian's tale whence the play derives its name and with the resolution of the play itself. Also, this message manifests itself in many other ways.
The tale that Katurian recites to Michal has an inherently dark message that children should kill themselves early in life for two reasons: one, they will avoid the pain that life brings; and two, their families will find the loss of a child to "accident" easier than the loss of this child as an adult committing suicide. However, the Pillowman eventually encounters himself as a child, convincing him to kill himself (and thereby destroy the adult Pillowman). The surface interpretation might be that even the one responsible for removing the pain of others is too miserable to exist. However, a deeper look yields the conclusion that even though life is terrible, it is worth experiencing; hence, the destruction of the Pillowman (for a taker of lives is not necessary).
Also, the play's resolution presents an interesting question: if Michal was approached by the Pillowman, how would he respond? Knowing full well that he would be tortured, and then eventually driven to murder through experimentation due to his brother's stories, Michal responds that he would be willing to suffer that life so that Katurian's stories could be produced, for even they are worth living a harsh life.
There are many other examples where the play exemplifies this notion. The tale of the Writer and the Writer's Brother, which Katurian claims has a happy ending, empowers his tortured brother, who writes a story better than Katurian could ever hope to produce. Ariel, after hearing all of Katurian's story, becomes a protagonist rather than antatgonist, and, moving against the wishes of the dispassionate Tupolski, saves the stories that drove Michal to murder children; even these stories, which caused death, are worth saving. And there is the third child as well. Katurian was most saddened by her "death", for Michal said she was killed in the manner of the Little Jesus. However, the girl was not harmed, as she was the subject of the tale concerning the green pig, and for a time both Ariel and Katurian are overjoyed. And finally we have the tale of town on the river: the child is maimed by the mysterious stranger, a harsh deed in exchange for the boy's kindness. But what the man really does is save the boy from future abduction (as the man was the Pied Piper of Hamelin); so that even the horrible suffering from having toes removed is worth being alive.
In short, the message of the Pillowman entices us to enjoy life. It will be harsh, and we will suffer, but when the call of the Pillowman comes, we should refuse to answer him.