This is the Romantic Poe, placing man alone in extreme nature. Nature is perfect in and of itself, but when man is placed there alone he becomes terrified. So we have a duality of nature: Garden of Eden (nature is perfect) vs. The Fall (man in nature realizes his sins).
Nature is much personified here:
For many miles on either side of the river's oozy bed is a pale desert of gigantic water-lilies. They sigh one unto the other in that solitude, and stretch towards the heaven their long and ghastly necks, and nod to and fro their everlasting heads.
There's three levels to the story: 1) the Demon telling the story to the man. 2) The Demon in the story watching the other man; 3) The man telling the story to us. It is ironic that both men make the same mistake: this is why the Demon laughs. Man becomes alienated from society in nature. He ponders questions with no answers, and this terrifies him. He realizes that death is the only haven from the heartless world. The reality is this: nature lives on, while we perish all around it.
The lynx is a major symbol in the story. It appears after the end:
And I could not laugh with the Demon, and he cursed me because I could not laugh. And the lynx which dwelleth forever in the tomb, came out therefrom, and lay down at the feet of the Demon, and looked at him steadily in the face.
The lynx has the last word here: its silence trumps the Demon's silence. The lynx is, once again, a symbol of nature silencing man.