I don't own many anime DVDs. Jin-Roh is one of the few that I do. As with anime itself, I will not seek to define and summarize it. Other sites, such as Dan42's Jin-Roh Lair have done a much better job than I have the will to.
Some people find it a commentary of facism and how it affects human nature. To be completely honest, I never understood that element.
In the Fall 2002, I took a class called “Images of Tokyo in XX Century Literature and Visual Media”. For a term paper in that course, I wrote about some of the symbolism relating to the settings and locations of Jin-Roh, as well as some messages it has about “modern living”. Yet another one of my attempts at amateur filmic analysis.
The paper, “A Guide to Tokyo According to Jin-Roh: The Wolf Brigade” (PDF) contains spoilers and requires having watched the movie to understand.