While some reviewers (e.g. Destructoid) tore Anodyne apart for "having no meaning" and for being pretentious, I thought it told a very compelling (if somewhat obtuse) story.
I interpreted the game as being the main character's struggle with clinical depression. Most of the bosses seem intrinsically linked to Young (being the manifestations of his imagination), and they all touch upon disturbing themes such as self-loathing, apathy, and the desire to commit suicide.
Young also has a bit of a repressed violent streak to him. At one point in the game you murder an innocent fisherman and jump into a vortex of the man's blood, which transports you to a different realm. At another point when you visit a sleepy suburb community your weapon (a broom) transforms into a knife, and instead of being able to talk to the harmless-but-vapid suburbanites you can only stab them to death. Despite the title, there's some dark stuff here.
At the end, the final boss is a doppelganger of Young that gets overtaken by "the darkness." The doppelganger laments that he's tired of "the cycle" continuing and that "this is all there is." When you beat him, we're not treated to some really grandiose finale with a bunch of bells and whistles. We've merely warded off a dark mood (i.e. depression) for a time, and it'll come again as depression is cyclical.
Personally, I liked that the ending was so anti-climatic, because you didn't succeed in curing Young. Just pulling him out of his funk. I also enjoyed how dying would merely wake you up, and you find yourself alone in a dark room/apartment. Those were nice touches.
Anyone else have the same interpretation, or a different one you feel like sharing?