There's some huge debates going on in the forum at IMDB about whether or not the fantasy elements were real of all in Ofelia's mind. When I watched the movie, I never once doubted that it was real. But after reading the arguments (especially the "Occurance At Owl Creek Bridge"-alluded one, since we see Ofelia laying on the ground dying at the START of the film, and then at the end again) yeah I can see how its possible that the fantasy was in her head. But unfortunately it makes me like the film a little less to realise that it might not have been real. I like when fantasy is real.
