Interconnected Character Theme (spoilers)
Perhaps I was not the first to notice this, but the characters in Broken Embraces all seemed to share a similar struggle. They all, or most of them, seem to be sacrificing something for one another.
If you notice at the beginning, Penelope Cruz is a Call Girl to help her dying father survive. Then she does the same for the director, when she decides to stay with her rich producer boyfriend in order to let the director keep his original vision.
Another parallel to this exists with Judit, the mother of Diego. In order to keep Mateo/Harry from dwelling on the past, she lived with the guilt of keeping the truth about Diego being his son from him, along with the countless other facts about that ill-fated night for him and Magdalena.
Diego even keeps his own secret from his mother. He decides not to tell her about his coma in order to keep her from worrying (also maybe to save his own rear-end).
Ray-X uses the very film that he used to destroy Harry/Mateo's life, ironically, as his means for salvation. The film is used to re-establish the directors credibility as an artist, and expose the producer for the crime he committed.
And Harry/Mateo sacrificed his whole livelihood and life's passion to save Magdalena from her horrible relationship to the producer.
Finally, notice that every one of these sacrifices walks that fine line between heroics and taboos until every character makes the fatal mistake of overindulging in their passions. Magdalena chooses the gluttony of a superficial and unloving relationship, only to give in to infidelity. Diego: Drugs. Ray-X: exposing Magdalena and Harry/Mateo's affair. Judit chooses to indulge in jealousy, which leads coincidentally to Magdalena's death and Mateo's demise. And Mateo chooses his film over his love, which also leads to Magdalena's demise.
And if you see the biblical connection to the name Magdalena, this seems to be further illustrative of Almodovar's intent here.
Sorry this seems a little disjointed. It became more apparent as I typed this.