I have always despised the comic-book adaptations that strive to make characters more realistic because the viewing audience will have a hard time accepting the ludicrous nature of the material. Too often directors and producers back away from introducing too many magical details under the assumption that it is too much for the viewing public to process. These are comic books! They are myths and fairy tales! Of course they are magical and ludicrous! They appeal to the imagination and the setting as well as the characters sometimes features as part of the whole story.
This movie relies on the existence of a magical unseen realm. It is the entire point of the story. The spiritual themes are fairly overt. Do I have to spell it out? HELL-boy? Where did he come from? And if there's a hell then there's also a heaven, right? Well, as far as the movie goes, there is certainly an unseen magic to our world. And it's beautiful.
Hellboy could have been a movie that ended up as nothing more than stunts, muscle-flexing, car smashing, and destruction (i.e. Cloverfield). However, even ol' Red has sympathy for the villain. That's important because we all want our hero to be redeemed. We want him to do better than follow his nature (as in the "Son of the Fallen One"). We want him to be the good guy.
It's not easy for a guy like Hellboy to be the good guy when people judge him on his looks. He has to overcome the prejudice and prove himself. On top of that, he was spawned on the wrong side of the cosmic tracks and he could give in to his nature. (Shades of Romans 7?) Maybe with the love of his best gal by his side and his comrades, he'll turn out better than his natural disposition. There's hope there. And the good news, revealed at the end, is that he is encouraged to be like his "Father" - his adopted father that is, the man who loved him, taught him, and told him stories that shaped his character.