People seem to interpret it a few different ways. The idea of "checking out of society" really appeals to some and he's heroic for doing it. Fight Club has a similar, almost cultish, following.
The lesson: its a good idea, but don’t run in unprepared, and don’t think nature is without danger
The apparent takenaway: it’s a good idea
But regardless the movie depicts it as a fairly slow, very painful, and a fairly pathetic death (alone, weak, with lots of regret and little to show for it), but still 90% of the movie was him running around in gorgeous nature shots and small towns.