The film's axiom is, basically, that a movement such as Nazism is still possible. That any group of people at any given time, and given the right conditions, can end up doing terrible things out of an elitist sense of superiority.
The best part is, it's not done in the sort of tragic, patronizing way most (American) films about Nazism are done. It makes you see the world through these students eyes and understand why being a part of the Wave is so important to them. The emphasis is on how it brings them closer as a community, how they turn protective of each other until they finally turn against those who oppose them. You even think it's kinda cool. They're not being racist; they're not hurting anybody. On the contrary, it's making all those racial and class differences disappear. And where's the harm in that?
Until things take a turn for the worst and, like the students themselves, you come to realize how wrong it all is. Brilliant.
ETA: My sister and I are such lame fangirls that we can even find something to ship in serious, Nazi-themed movies. Sad fannish tendencies are sad. Now, if you'll excuse me, I'm off to look up some fanfic.