Dr. Parnassus has made several deals with Mr. Nick (the devil), one of which includes the forfeiture of his daughter on her 16 birthday. Fortunately Tony joins the traveling circus and appears to have what it takes to save Dr. Parnassus's daughter.
This show was very interesting and very confusing. If it weren't for Wikipedia's candid explanation of why Terry Gilliam put this together and what he was thinking, I would have thought a lot less of this film (not understanding it's purpose of existence). Because the story was so confusing, it was hard to enjoy; and as my wife stated, "if you want to see what it feels like to be high, you'll get it by watching this show" (not that she would know what to compare it to).
Moral Value - Failure to Communicate?
The most intriguing part of the story happens within the Imaginarium, where peoples dreams become a reality. We see how even our fantasies and dreams can be important decision making grounds that can either lead us to a wealth of happiness or everlasting torment. What we think about in our spare time really determines who we are.
Dr. Parnassus's constant dealings with the devil accurately show the grief and torment that occurs when such contact is made with evil. The devil will always make it seem like you can win the bet or beat him at his own game, but he's just toying with us. He's been at his job for thousands of years and knows humanity pretty well, don't mess around with evil.