Pratchett's works generally have a journey of some sort, especially novels in the Rincewind and Witches storylines. A recurring theme in these journeys is characters undergoing self-improvement though hardships, perseverance, and decision making that makes them question their own ethics. For example, Rincewind is first quite amoral and willing to do dirty work to further his own causes, but slowly develops into a character that cares about his newfound friends and risks his life to save him. In Equal Rites, Esk is a girl born as a wizard - impossible according to what is known about wizards and witches. She has to overcome societal barriers that prevent her from becoming a wizard and convince everyone that she is capable and willing.
“She was already learning that if you ignore the rules people will, half the time, quietly rewrite them so that they don't apply to you.”
There are some motifs in Discworld that are repeated throughout the series. Magic is a prominent example, showing up in the form of wizards and witches. In fact, magic is used to compare the talents of men and women through wizards and witches.
“Unseen University had never admitted women, muttering something about problems with the plumbing, but the real reason was an unspoken dread that if women were allowed to mess around with magic they would probably be embarrassingly good at it…”
Pratchett uses magic to show that despite women and men having different characteristics, they are equal in importance. Another motif would be the character Death, who shows up in 39 of 41 novels and talks in small caps. He is first seen as quite mean, looking forward to the deaths of characters. However, throughout the novels Death is characterized through his interactions as other characters die, and you see how Death likes cats and doesn't enjoy his job of reaping people - other than those whom dislike cats.
“I hate cats."
Death's face became a little stiffer, if that were possible. The blue glow in his eye sockets flickered red for an instant.
"I SEE," he said. The tone suggested that death was too good for cat haters.”