There are a couple of small details I like I want to mention fist, just to get them out of the way. One, Angel's cautious glance over at the spider, fitting for a Cowardly Lion to be nervous about giant arachnids. Two, Faith and Connor both have strides that suggest they're skipping, which fits with the the Wizard of Oz motif (even if Connor looks like he's skipping off the edge of the road).
OK, on to possibly more substantive analysis. The first thing, and it's something I just noticed, is they appear to be moving away from the Emerald City. In the original Oz story, that was their destination, to go and see the Wizard. So you could take it to mean they're completely lost. The goal of the trip to Quor'toth was to get Willow's plan to bring back magic in gear (and in doing so, get her to cough up the scythe and a chunk of Giles' soul). We could take it to mean they're going about this entirely the wrong way. Certainly, Whistler's plan suggests there are other avenues to explore which didn't involve visiting Quor'toth (but did involve killing lots of people).There's another aspect to consider. In the original story, the quartet visit the Wizard because they all want something. What they find is they already have all the things they desire, meaning the Wizard was unnecessary. So this could mean Angel & Co. are simply smarter than a young girl from Kansas and her weird friends, and figured out what they needed and what they had before they started. The other side of it is that Dorothy and the rest had what they needed, but it took the Wizard for them to realize it. Which means by possibly forgoing a visit to the Wizard our heroes are ignorant of some key information. Perhaps Connor and the scythe could have been used to restore magic some other way.
There's also the matter of who the characters are depicted as. Connor's the Scarecrow, who wanted a brain. Connor seems to have mostly wanted a relationship with his father, which is more of a "heart" issue, but part of the reason he didn't have one is because Angel screwed around with everybody's brain to set Connor up with another family. A spell which crashed once magic vanished, meaning Connor has his true memories or the first 17 years of his life back again. At the same time, the family he was placed with no longer remembers him, so he's lost that period of his life. In a sense, mind is still an unstable thing when it comes to Connor, because there are always people he should be close with that he can't, because they don't remember him. If it isn't one, then it's another. At any rate, Connor does seem to have the relationship he wants with his father, as their jaunt to Quor'toth established. He has family, even if he doesn't always know it.
Willow's the Tin Man, who wanted a heart, presumably to be able to feel things. Willow wants to bring magic back, supposedly because the world needs it, but let's be honest here, she likes having power. She's always going to like having power, and she wants it back. Which is kind of interesting, as it means what she wants is potentially harmful to a lot of other people. I'm not sure how she already has what she's looking for. If we go with the idea that Willow wants control, it could be that with her brains and knowledge of computers, she already has what she needs. If it's more about how magic helps her feel connected to the world, well, it's not hard to envision Willow being so wrapped up in misery of magic's disappearance she's closed herself off, experiencing only anger and resentment. Most of what I've seen of her is angry retorts and sarcasm, which is really more Faith's bag, you know? In which case Willow, quite simply, just needs to get over her mopey, self-pitying self. Third possibility, that she's out to save the world, well, she has the scythe in the picture there. It has some connection to the Slayer line, plus it was used to smash the Seed/Egg, so why wouldn't there be residual magic stored within, along with Giles' soul?
We all know what Angel's after: yet another chance at the Big Redemption Play. I mean, Giles' soul. The Lion wanted courage, which was inside him all along, naturally. Angel is gathering up pieces of Giles' soul within him, but those are coming in from other places. The redemption thing is the key bit. Angel is always making this big attempts to fix things, as a way to try and make up for what he's done. This even as he acknowledges that he'll never stop paying, that it's never as simple as making the number of lives you save outnumber the lives you take. Which means, since he can never get clean, he keeps beating himself up over it. I think it boils down to the same thing it always does with Angel: he needs to stop trying for these big plays. Stop trying to fix the entire world, because that always turns him into a puppet of some big power. He needs to accept he did awful things, but now he's going to help people in need as he comes across them. Stop acting like Angelus is some other bloke who just happens to look like him, whose messes Angel is left with. He keeps trying to stick with that lie (as Dru pointed out), and it's a dodge. As long as he didn't do the awful things, he can't receive forgiveness for them, but he can still beat himself up for them, like a dog owner whose pet gets out and mauls someone. He's the only one who can make himself stop with that noise.
Finally, Faith. Dorothy was kind of the odd one, since she just wanted a way home. Home can be a state of mind, a place you feel uniquely comfortable, that fits you just right, but it was also a definite destination. I don't know if Faith has a home. Where's the place she feels right? She and Angel form a decent support group for each other, but they're different enough they grate on each other (Angel's perpetually dour mood would wear on anyone eventually). We've seen her father, that's a no-go. Even if Giles were alive, Buffy would always come first for him. I don't think she has a place, a person, who puts her first. Which is incredibly sad. Is that what Faith wants? Maybe on a macro scale. More immediately, for this story arc, I think she wants somebody else to take over. She keeps having people dump responsibility in her lap. She has to keep an eye on Angel. She has to keep an eye on Willow. She has to keep an eye on all these kid Slayers, including the revenge-obsessed one. And since she doesn't trust her judgment (because all everyone else has ever done is make her question it), she hates it. She can't make decisions without worrying she's wrong.
Dorothy wanted to go home. Even though home was a crappy little farm in Dust Bowl, Depression Era Kansas. Even though she was in a strange magical land where she had seemingly just eliminated the two greatest threats to peace and stability (I'm sure there were others, but at the time, the Wicked Witches seemed to be the only game in town for Evil). I thought perhaps Faith would rather be alone, no responsibility to anyone but herself. But, she's pretty happy on the cover, and they're headed away from the Emerald City, away from the Wizard who could tell her how to get "home".
Also, Dorothy killed one Witch without even realizing what she'd done, like Faith killing the Deputy Mayor. And in each case, it made things worse. Dorothy found herself targeted by the other Wicked Witch, Faith found herself hounded by the freaking Watcher's Council (good one Wes, you poncy jackass). What it really suggests, is two characters who find themselves the center of things beyond their control, that they either don't know, or don't care about. Dorothy had no grudge with the Witches, but finds herself a target. Faith isn't sure they should bring Giles back, but she wants to look out for Angel. She isn't sure going to Quor'toth is a good idea, but she gets sucked into that, too. And somehow, she's the one trying to keep things together, even when she'd rather be any place else.
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