Sorry I couldn't answer earlier- hectic weekend here.
I think the women were the Gynocide victims She was reading about. Maybe they are a reflection of his emotions - a feeling He set them free by killing Her. Some think He dies in the woods and that's why He sees them.
Von Trier was quite brave touching such a taboo subject - women can be just as violent and abusive as men - but their traditional nurturing role makes many shy away from the idea. Plus, since they've got the short end of the sick for so long, some women fear that talking openly about that might only cause further abuse. But I was quite disappointed by the way some feminists attacked this film.
For me, it's in many ways a film about choice - there's a dark corner in all of us, filled with potential violence and madness waiting to happen. Many don't have the strength to know and accept that side and trying to make sense of the cruelty and "unfairness" of the world we live in can be a devastating process.
There are a few interesting interpretations on IMDB - if you're patient enough to search through all the crappy ones.
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"Selfishness is not living as one wishes to live, it is asking others to live as one wishes to live" (Oscar Wilde)