Themes are important. We don't often think about them, but they are there in every story we tell. Themes are the running currents just beneath the surface. They tell us what the story is about. As a GM it can be a good idea to identify the themes in your game, especially the ones that resonate with your players. Why? Because if you can identify the themes, and you can play with the theme, the story will become a bit more meaningful.
Just Below The Surface
Whether you know it or not each game has a theme to it somewhere, and each story has one as well. Dungeons and Dragons is ostensibly about good vs. evil, Legend of the Five Rings is about honor and about order versus chaos. Many Zombie games are about survival. When played towards the theme the game was built around you can often get more out of the game itself.
If a world or game never quite clicks for you, and it isn't the mechanics, it could likely be the theme of the world. The running themes of hopelessness, despair, and futility that run through much of 40k is a big turn off for several people I know. On the other hand, the theme of adhering to a personal code of honor is what lured several friends into L5R.
Beyond this though, the stories we tell with the game system also have themes. Some of them are grandiose, and some hit quite close to home. My L5R game has had a theme with each generation. The current generation I've called the "War Hero" generation since day one, and as the generation has progressed the PCs have become big heroes, but that theme has also played true in the negative. They've lost friends. They've lost allies. Some of them have come close to losing their humanity. Some still risk losing their souls. In the most recent session an NPC died right in front of the PCs, and the players are still upset about the death several days later. They're not upset because it was done badly OOC, but because the NPC - in their opinion - deserved more and better after living through so much, and because they liked that NPC and were counting on them being there.
Identifying Your Theme
To find out what the theme is for your game you need to look at the stories you've been telling. What has been the motivation behind the stories? What has been the message? Going deeper than the surface of the players were raiding the tomb of the lichlord Phagus, what was it about?
Was it about a group looking for lost knowledge? Perhaps people seeking power? A group seeking wealth and respect? Why did the players go into those adventures? What drew them in? What motivated them to stay?
If you're not sure, feel free to talk about it with your players. Ask them what they thought the theme of the game is. Maybe they'll look at you funny, that's ok. Some people are just playing to have fun. Often different players will give you different answers. That is also fine. Most games have multiple themes, and most players will only notice the ones that they either identify with or also work with their character. The point is, you have a list of themes now.
Research Your Themes
Pages like TV Tropes have a lot of information on themes and the tropes that go with them. This is a good resource, but also things like wikipedia, google, and your own brain. Think about your themes. Think about what they mean. Think about how they have expressed themselves in the game already, and how they could come back up later on.
That last step is the most important one. You want to make plans around your theme. For example, a group that has a theme of Wealth vs. Happiness (a core part of most "seeking wealth" stories) could easily have an adventure come up where the PCs have to compete with another group to secure a treasure. This could be further twisted by also giving the PCs some strong allies that help them and make good friends (core parts to happiness for most) and then make them choose between the wealth and the friends, or all of the wealth and the friends. Maybe the friends need the money for a great and noble cause. Do the players give it over? Do they make enemies out of those friends in seeking the wealth?
Other themes lend themselves to different stories, but all themes work for stories - that is what they're about after all. Find yours, work with them, plant them, and use them to make your game planning all the easier and even richer.