Positive messages include the idea that every hero needs help to defeat evil; that "blood status" (the magical equivalent of racial purity) isn't important; that all kinds of people -- magical and non-magical -- should be able to co-exist peacefully; and that some things, some battles are greater than one person. By defying his former masters, Dobby shows the importance of free will, loyalty, and friendship. Hermione's choice to stay with Harry even though she loves Ron is a good lesson in staying true to your word, while Ron's choice to come back is a great lesson in redemption.
The body count in this movie is the highest of all the adaptations to date. Several characters -- mostly recurring supporting players, but also a couple of newly introduced ones -- are killed, mostly via the Killing Curse. One beloved character dies after suffering a bloody knife wound. While on the run, the central trio is each injured -- Hermione is tortured, Ron's shoulder is severely hurt, and Harry nearly drowns while being choked by a cursed locket. A character loses his ear to a Death Eater (bloody wound visible). Muggle-born characters are shown being whisked away against their will -- toruture/mistreatment is implied. The good guys face down Death Eaters, Dementors, Snatchers, and, in one gruesome scene, a man-eating snake that bursts out of a dead body. Weapons include wands and fists in most of those fights.
Ginny asks Harry to zip up her dress, and then turns around and exposes a strip of bare back (all the way down to her waist) to him. They then kiss. Lots of flirting and longing looks, as well as embraces between Ron and Hermione. An evil, ghostly version of Harry and Hermione torment Ron by embracing and kissing passionately while appearing nearly nude (their torsos are visible, but it's all very blurry/misty).
Frequent use of British slang like "bloody," "bleeding," and "git," plus "damn," "piss," "ass," "hell," and "oh my God" said once or twice. The insults "Mudblood" and "blood traitor" -- which are the wizarding world's equivalent of nasty racist terms -- are said several times as well.
Drinking, Drugs & Smoking
Champagne glasses are magically filled at a wedding reception, and people eating at a large dinner table are shown with goblets in front of them, but no one is really drinking.