What saying no can lead to.

Caution: This message discusses the ending of the movie; if you haven't seen it yet this could be a spoiler and it would be wise to stop reading here.

They say you don't know what you can do until you've done it, and I think this movie shows this brilliantly in its climax. There's perhaps also a message here that emotional pain is worse than physical pain.
Think about it: Em continuely tortures Jeong-hyun telling him "'Say Yes' tell me to kill your girl." Jeong-hyun refuses out of his love for Yun-hie despite the pain inflicted on him, but when he sees her severed head and realises that she's already dead he finally snaps and strikes back at Em, who continues to verbally taunt him.
Quote: You're differnt from me, not everyone can kill. See? You're scared, you could never kill me.
The emotional pain pushes Jeong-hyun past breaking point and he ends up stabbing Em to death.