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The show's over-arching themes:

1. Trust

 In the end, we're all alone and no one is coming to save you.

Spoken by Reese to Jessica in the airport flashback in "Mission Creep" (where it also doubles as Foreshadowing of Jessica's fate); various references to "going it alone" or "you're all alone out here" appear in several episodes (e.g., the Iraq flashback in "Get Carter").

 You have to trust somebody.

The counterpoint to the above, first used by Finch in "Ghosts," trying to convince Theresa not to run away again; seems to show up at least once an episode.

2. Loss

 When you find that one person who connects you to the world, you become someone different. Someone better. When that person is taken from you, what do you become then?

Reese's opening voiceover, describing Jessica, from "Pilot," which he repeats when he confronts Peter over her murder in "Many Happy Returns." All four of the main characters have lost someone close to them: Reese lost Jessica, Finch lost Grace and Nathan, Carter apparently lost her husband (under circumstances yet to be fully explained), Fusco is divorced (under circumstances yet to be fully explained). Elias' entire life has been one complex exercise in avenging the loss of his mother; Dr. Tillman in "Cura Te Ipsum" and Darren in "Wolf and Cub" are seeking revenge against someone who took a loved one away from them.

3. He Who Fights Monsters

 Maybe it's up to me to do what the good people can't.

 There are things you can do Detective, and things you can't. And that's where I come in.

 I know what happens when you take a life. You lose a part of yourself.

As noted on the main page, Reese is a very self-aware version of this trope, but the theme is also present in The Machine. It's "a system of unimaginable power" built to fight monsters, but it seems to have turned the people in the government who control it a little monstrous themselves

4. Second Chances

 I believe everybody deserves a second chance

Finch offers Reese a second chance at life; Reese and Finch's interventions give many of the POIs a second chance; Fusco takes advantage of the opportunity for one which Reese unintentionally extends him.

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