Loss of innocence is a dominant theme in literature, from the epic fall of mankind into sin in Milton's Paradise Lost to a young child's first experience with death in children's books like Bridge to Terabithia. Philip Pullman's The Golden Compass deals with the loss of innocence a bit differently from many other books. Here, the loss of innocence is not necessarily such a bad thing. Experience – the opposite of innocence – is presented as just as valuable and necessary. This might sound like small potatoes, but the shift in perspective has big-time consequences for the book, especially when Lyra decides that "Dust" might not be so sinful after all. (Read all about that juicy and controversial topic in "Symbolism, Imagery, Allegory: Dust (and Original Sin).")
Lyra is better off for having lost her innocence. Though she doesn't see the world as such a nice place anymore, now she's better able to protect herself and her friends.
The General Oblation Board acts like severing children's daemons will help them remain innocent, and that's the best thing for a child. However, the fact that Mrs. Coulter doesn't want Lyra to be severed from Pan proves that loss of innocence isn't a bad thing.