I believe one of the main unifying themes in Pynchon's work is history, and more specifically the question of how history is relevant to the present; how, and in what way, do we and can we make use of historical fact and narrative? In my reading, Pynchon’s “novels of ideas,” as @AdamGold nicely describes them, use the preconceptions underlying great, overarching ideas like technology and paranoia to interrogate precisely the normal ways we interpret history on global, cultural, social, and personal levels, and the ways we perceive these levels as interacting. (I think Pynchon chooses to really upset the traditional novel form as part of this strategy of interrogation, but that is off topic here). What is to be learned from these interrogations, however, is much harder to say, and I think this is where the really productive conversations on Pynchon's work and its relevance can/do occur.
A full elaboration, for those interested (~1000 words):
Following @AdamGold, there is a certain bedrock for ideas in history. In his engagement with history and with the grand ideas of humanity, I think Pynchon uses the conceptions behind great, overarching ideas like technology and paranoia to interrogate precisely the normal ways we interpret history on global, cultural, social, and personal levels, and the ways we perceive these levels as interacting.
To begin with examples, consider what David Cowart says regarding German thought and Gravity's Rainbow in his book Thomas Pynchon and the Dark Passages of History:
For Pynchon, the West defines itself by a negative capability of ultimately German provenance: a secular dream of total knowledge and power coexists uneasily with a vision of transcendence [i.e. Philosophical Idealism]. ... These paradoxes of Western culture, the thematic substance of much of Pynchon's work, often find their focus in specific meditations on Germany, German culture, and German intellectual and social history. (58-59)
Certainly, it is hard to say that Gravity's Rainbow ends by nicely resolving this tension or refuting this Faustian impetus in the West as something left behind with the Nazis. Updating this, Bleeding Edge confronts a similar tension between transcendence and capitalism in the internet / terrorist era (to entirely gloss a 450 page novel). Technology and paranoia are two other major modern ideologically-driven ideas and sources of propelling tensions that Pynchon really digs into in his works. As an example from Gravity’s Rainbow, Imoplex G (and with it the Schwartzgarat, Blicero, the Herero, Jamf’s life in Si-N biology, and other intertwined storylines) really dives into the tension created by a conflation of technological progress with social progress; this same tension is explored too in Pynchon’s essay “Is It O.K. to be a Luddite?”. Importantly, where many people like to focus on the sort of mad-cap characters and storylines, I think it is important to pay attention to what happens with these grand ideas and the tensions they build come the end of Pynchon's novels.
At this point, though, I think a certain level of subjective interpretation becomes inevitable. Pynchon opens up these capacious critiques within the truly incredible breadth of human experience available to him, but what does he do with them? I think the answer depends on how one reads his work.
Looking at Against the Day, for example, there are a plethora of narratives that all converge with the beginning of the first world war. One could read this convergence as orchestrated to raise a particular sort of questioning: In what ways do the American characters and their narratives, history, etc., bear on the European situation? What types of technological progress precipitate what outcomes? And as everyone is sent headlong into various catastrophes, personal or world-historical, is there any way to stop these events? Was there a pivotal moment or moments where a certain decisive action could have possibly averted the destruction to come? Gravity's Rainbow is no different. During the span of the novel (only ~2 years) there is a constant return to past episodes, again both personal and world-historical, in an attempt to understand the current destruction and chaos. If you read closely, the characters do in fact have their questions answered, and hard-won knowledge abounds - and yet, what does it amount to? Certainly it does not have the effects the novel's protagonists desired.
Pynchon, I believe, elaborately constructs his engagements with history intentionally in order to raise and criticize the idea of a “what if” questioning of history along with the type of understanding of history / ideas it implies. To wit, think how many times someone has said “If we had a time machine, we could go back in time and kill Hitler and prevent WW2!” I think Pynchon precisely rejects such an understanding as one completely failing to grasp the complexities of the human race and the extent to which grand ideas, not so much individual actors, create a certain inevitability. Perhaps Pynchon’s message, if there is an explicit one, might be to teach us that we keep playing into these grand ideas and their underlying ideologies. But then, after refuting that, what is there? How to make sense of history, what to do with it?
Pynchon uses this incommensurate juxtaposition of individual lives and world history to interrogate the grand ideologies he sees as both driving the people of a particular time and place and part of a larger symptom of the human condition. Consequently, his characters can be read as embodying engagements with ideas, ways of living ideas, which get swept up in the whirlwind of human complexities; yet through this they also embody, at least in my reading, some very deep human feelings and emotional experiences (that their ability to present to the reader feelings about ideas and life doesn’t necessarily require a fully functioning person as we normally think about characters I see as one of Pynchon’s great insights). Who could possibly shoulder the weight of ideas? I think the end of Gravity’s Rainbow nicely addresses this incommensurability of individuals with history and ideas: some characters give up, some go on searching, and (perhaps) nothing really changed. As everything sort of dissolves come the end of the novels, I moreover will admit that I see where some people are able to read him as saying nothing, just a bizarre postmodern send-up of humanity, just for the kicks, or just for the smug laugh - I disagree, but I’ll grant such a reading it’s place. Largely, I feel that Pynchon, intentionally or not, mirrors his protagonists, always striving to understand the grand structure of history, society, and the "powers that be" and their grand plans, getting ever more frustrated and angry, ever more paranoid, and ever more lost - how many thousands of pages (and counting?) must he/they cross to find where humanity is going?
I realize that is both a very long and vague answer including my own personal take on a lot, but hopefully it’s enough for anyone who has read this far to begin to form their own reading of Pynchon’s convoluted grandiosity. Thanks @AdamGold for the discussion that helped develop this answer