For the sake of avoiding spoilers, this review is going to contain a lot of "someone did that/someone is this" etc.

Violence / Gore: Violence is generally limited to believable real world situations and little blood is shown. Someone falls down stairs, someone is hit by a car, someone is dragged behind a truck. On screen deaths are limited and non-gory. Terrorism is a plot point.

Nudity / Sexual Content: While not the most graphic show in this area, it's certainly pretty disturbing. There are three counts of attempted rape of/by characters who have been drugged and, depending on how you interpret the symbolism, it's implied that one character was sexually abused as a child by her father. Nudity is usually covered up though, or shown in silhouette. One character stalks someone else. One character is a lesbian or at least bisexual. The penguins, I think number 1 specifically, is always looking at pictures of scantily clad ladies, will steal women's underwear and do things like try to look up a woman's skirt.

Theological themes: The penguin hat spirit brings Himari back to life and possesses her from time to time. Other spirits also feature. Fate/destiny is a prominent theme.

Negative themes: Drugs are used, of the kind that knocks one out rather than makes one high. Child abuse/neglect is a strong theme later in the show. Most of the characters are not generally well adjusted people.

This show contains a lot of nihilism, people in despair of anyone outside themselves solving their problems, charms, ambiguous sexual symbolism, inappropriate relationships, and wanton violence, at times. Beyond that, the message of the show is not even clear, so viewers may get widely disparate messages from it.
There is some nudity, mostly undetailed and in silhouette. There are also implications of various horrible things happening to children, though the show is so heavily symbolic that it is sometimes difficult to figure out what is actually happening to various people.