I have only a superficial understanding of the religio-philosophical framework around which the Wachowski brothers carefully arranged the folds of the plot, but it's clear now in hindsight that the Matrix trilogy, much like Lord of the Rings (but even more so), was really a single story. Taken singly, none of the Matrix movies never make much sense - many of my acquaintances critiqued the second movie on those grounds, but the first also has serious flaws when considered in isolation. If you disagree, ask yourself this: Why do humans need Neo at all?
You'll find that any attempt to answer that question on the basis of the first movie alone will lead you inevitably to the conclusion that humans don't need Neo, because there's nothing he can offer them that the machine architects of the Matrix couldn't simply program into the Matrix instead. The Matrix could easily have been a City of Heroes-type simulation where all people are super-heroes in capes and tights and fly around doing aerial kung-fu. They don't need Neo to teach them to question their existence. The fundamental philosophical question of the first movie - what is real? - is an irrelevant question since ultimately reality is subjectively experienced. In a very real sense, the argument over Reality is a red herring[2].
Only by considering all three movies as one act can you really grasp at the larger picture - which is about Creation. Not just one Creation, but a cyclical one, whose prior Revolutions were hinted mostly by dialogue with the Architect in the second movie.
The most important thing to realize is that Keanu Reeves plays two Neos. According to the architect, there were two prior Matrixes, one utopian and another dysutopian. Five Neos preceded Reeves' character in the Third Matrix, and at the beginning of the First Movie he comes into realization of the fact that he is the Sixth Neo. At the end of the second movie, Neo is Reloaded - and becomes version 7. It is the Seventh Neo who changes all three worlds: The human world, by bringing peace to Zion and allowing humans to be free from the specter of genocide. The machine world, by imprinting onto the Source and allowing machines to free themselves from their strict utilitarian purposeness. And the Matrix, which is the new Garden of Eden for both races.
The process by which Neo achieves this transformation is by re-uniting with Agent Smith, as both characters follow similar growth in ability to transcend their limitations imposed upon them by the Matrix itself. At the end of the first movie, the two characters briefly join, and then Smith is destroyed. Smith reconstitutes himself (v2.0) as more than a mere Agent - and bears some trace of Neo in doing so. The two are linked from henceforth. In the second movie, Neo fights a horde of Smiths in a stalemate brawl that ultimately has no resolution - Neo just flies away, and the Smiths disperse. In the third movie, they rejoin - Neo stops fighting Smith, recognizing the inevitability that Smith would consume him - and he would consume Smith. The two merge again and connect to the Source. The process destroys them both but leaves an imprint on the Source, allowing the Machines to grow - as the child-program Sati symbolizes, an ability for the machines also to be creative beyond their function. Sati programs a sunrise, not because it is time for the sun to rise, but because she did it "for Neo" - an act of emotion and choice that transcends mere function. The Machines thus achieve via Neo (and Smith) a dimension of freedom that brings them closer to their own Creator god - Humanity. The merging of Neo and Smith symbolizes the merge of Humans and Machines - in the physical world, by the Peace which will allow true commerce and exchange of ideas once again, and in the Matrix by the relaxation of the strict rules governing both machine and human limitations.
I have to repeat myself - the movies (taken as a whole) were brilliant, true works of philosophical masterpiece. A much more comprehensive, organized, and much better informed analysis of all three movies was done by Brian Takle, to whom I am indebted for clearing up a few things that had me stumped (such as why Neo's powers manifested in the "real world" and the significance of the Merovingian, the latter which makes more sense also having read The DaVinci Code by Dan Brown). Takle essentially summarizes the entire trilogy when he writes:
Humanity achieved "simple" godhood by creating beings in its own image. It will achieve "complex" godhood by reuniting with its estranged children. At the same time, so will machines.
One closing thought - every character is named for a specific reason. In the trilogy, names are gigantic neon signposts towards interpretation of metaphor. I have a lot of reading to do.
[1] Now I understand why Revolutions was so despised, as well. This NYT review is a typical example, sneering at "mumbo-jumbo". This review reads like a plaintive plea, parading it's complete ignorance of the concept of "metaphor" as some kind of merit badge. To understand this movie, you need to be the Oracle, not the Architect... you need to be Seraphim, not the Merovingian.
[2] And no, there was never a Matrix within a Matrix, or two Matrixes. There is only the Real world, and the Matrix. No third is needed, or ever was, to understand what happened.
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