Based on my interpretation and analysis of the story, the four main themes in "Sonny's Blues" are the formation of identity, personal expression, acceptance, and suffering.
Throughout the story, the narrator struggles to reason with his brother's, Sonny's, life and cannot quite understand the choices that Sonny has made. Sonny has struggled his whole life to carve out an identity for himself under the shadow of his brother who always seems to make his family proud. The neighborhood in which they live is less than nurturing, and Sonny falls into the darkness of his surroundings. Jazz, however, becomes a solace for Sonny, the means by which he defines his person. The narrator does not understand this element of Sonny until the very end of the story when he goes to see his brother play in his band. The narrator is taken over by the power of the music, and then begins to understand and accept the life that Sonny has chosen for himself.