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If you research, you will find a variety of themes ("life messages") that Shakespeare shares with his audience in Hamlet. Revenge is at the core of the play, though Hamlet's quest for such brings about his own death and that of all those even casually complicit in Old Hamlet's death, or who have aligned themselves to Claudius.
There are other themes: mortality (death), chance, illusion vs reality, etc. All of these are important aspects of the play.
However, I also believe that a piece of art speaks personally to each person who experiences it in some way, whether by reading it, in this case, or seeing it on stage.
Hamlet is one of my favorite of Shakespeare's plays, and yet when I try to imagine myself in his place, the themes above do not speak to me. I see a young man, a prince; he is away at college and is told his father is dead. He returns to what was once a happy community for him—with loving parents and a sweetheart—to find that his mother is remarried to his uncle (which is considered an incestuous relationship to Elizabethans...and to Hamlet's character).
Where he had believed his parents in love, Gertrude is now married to his uncle, and when the Ghost appears and charges Hamlet with avenging his death at Claudius' hands, Hamlet is now torn.
First, is the Ghost really his father, or is it some specter of evil there to rob him of his eternal soul should he murder the King without reason. Secondly, Hamlet ultimately realizes how very alone in the world he is.
Seemingly overnight, Hamlet is forced to grow up, and not by getting a job or going away to college, but by taking on a world of murder, deceit and fear. When Hamlet decides to pretend to be mad, he is buying time as well as looking for proof of the Ghost's accusations. His heart, regardless of the truth of the Ghost's words, is broken. He is forced to see the world through new eyes and it crushes his spirit and his heart.
The line that impresses me most with the sense of loss of innocence as Hamlet must be experiencing it is:
"O cursed spite! That ever I was born, to put it right." (I, v, 215-216)
In this passage, Hamlet laments having ever been born, and that by being born, he is confronted with the familial obligation to avenge his father's death. And while Hamlet might wish someone else to take on the responsibility, there is no one else. Ultimately, his uncle's unquenchable thirst for power is the ruin of almost every character in the play.
For me, Hamlet's loss of innocence is a theme that speaks deeply to me.