I haven`t my review on the film anymore, as it got deleted with the old page. I agree with wpqx on many points, but he didn`t want to spoil the film, so I don`t know how much.
Anyway,

SPOILER
in my opinion Grace is the real villain of the film. The townspeople are all ordinary folk, and everything goes "well" until the middle, when von Trier luckily doesn`t end the film, but shows the consequences of Grace`s behaviour. The best line in the film - and the most important one - is imo when Grace`s father (James Caan) in the end, tells her that she`s the most arrogant of all persons (which she is!). Grace isn`t a "victim", because she`s in part(!) responsible for the townspeople`s behaviour. She acts like a saint throughout the film, like nothing affects her, like she has no personal views whatsoever, always doing what she`s told. A masochistic Martyr (like some former von Trier`s characters) that brings heaps of destruction upon herself and others. But of course the other people go way too far in their behaviour and are responsible too. In the end Grace realizes her failure and gross dishonesty and egotism (she wasn`t showing her feelings and thus her personality to the people; she was just acting for them and most of all herself), but also (which is equally important) the even worse failure of the townspeople. The message is (besides what i already mentioned), that everyone is responsible for his actions, and the tragedy of the "american" people is that they do what they do in the film out of ignorance, because of the (capitalist) society that exerts huge pressure on them through structural violence. The people act "insane" because of the society they live in, but they are also responsible themselves, because as human beings they should be capable to avert certain behavioral patterns. Grace decides to kill them in the end, because she has come to the conclusion, that they have lost the right to be regarded as human beings after the psychic torture they have put her through (even if it was in some cases unknowingly, because of society`s conditioning). Although it may appear drastic that the town is wiped out, I agree with this step (meaning that i would have done so myself). But interesting is also, that Grace who has already loaded much guilt on herself through the previous actions, she equals herself with the townspeople in terms of "guilt" when "she" kills them, while at the same time proving her "humanity" (meaning that she becomes a moraly "better" human being after taking the gun in her hands and killing her "boyfriend" - which sounds paradox but isn`t). What happened to her was in the end too much a human being could/should take. 
The end of the film shows still photographs of depression america, and how this society dehumanized the people. Speaking in terms of Dogville, the society (an almost invisible outside force - besides the FBI) dehumanized the people so much that in the end they lost their humanity completely. Grace was also a victim of this, but more through her own making. 
In the end all are victims and perpetrators at the same time, but only Grace learns her lesson. The others have failed to "redeem" themselves and escape the system (notice her last conversation with her "boyfriend" before she shoots him).

Spoiler end

There are some other points as well, but this is basically what makes the film great.