A-ha! Basta! Amphissa, you took this discussion right exactly where I hoped you were going to go. You see, one reason I feel that the sixth Mahler is something of a protest work, is because of the association of that march music. It's interesting how people bring up "Revelge" in discussing the third symphony - and other ones - yet it never comes up in discussions on the sixth symphony. As we all know, much of the march music in "Des Knaben Wunderhorn" corresponds to poetry about soldiering - often associated with fate, loneliness; being economically powerless, etc. I feel that the first movement is very much in the spirit of "Revelge", only a lot more serious. The so-called "Alma theme" can also be viewed, somewhat, with a "DKW" type subtext as well.
I don't know if I can really "enlighten" you - who knows why he did what he did? But it's also my, "who knows?" answer that convinces me that we know far less about Mahler's motives for the sixth symphony, than we could possibly imagine. I'm of the belief that the entire European experience for the years 1914 - 1918 are caught up in the work, especially in the finale. Some people, including Klaus Tennstedt, believed that he forecasted Nazi storm troopers marching down the streets. I won't go that far, but Mahler's "thrice homeless" statement - in regards to his being Jewish and never welcomed - was certainly as much political as it was personal; whether he realized it or not. Of course, the counter-argument is that it's far easier to say such things after the fact, since the work was composed less than ten years before the outbreak of WWI ("before", being the important word).
I think that one of the biggest facets about the sixth symphony, as Dave Hurwitz points out - regardless of what it may or may not be about - is: how is it that a symphony which is truly "tragic", and so predominantly in minor, also be so much fun and exhilarating to listen to? That's why, for D.H., the Mahler sixth is very much a classic Greek tragedy - one in which you're not left feeling morose.