Pan's Labyrinth gets my vote as the best movie I've seen in several years (since City Of God, anyway) - I'm looking forward to getting it on DVD. For some reason Brits just can't do films like that...
As for the Pan tale in HOM 186, I remember reading that in the early 70s, and it has remained one of my favorite short stories in the medium. I'd say there's a definite influence - obviously Del Toro spliced this innocent fairy tale with gruesome violence, a historical backdrop and a great ensemble cast of adult characters, but it's there (well spotted!).
All of which is impressive when you consider that the HOM piece was only five or six pages long, but still managed to be very moving....