I found Morris's commentary on Matthew very helpful here. The background on the Jewish wedding ceremony at the time was helpful to me in understanding.
The virgins are bridemaids, waiting for the groom to come so that they can have a torch-light procession back to the groom's house where there is a fantastic wedding celebration. Reading too much into the parable can be dangerous- we could start to read all kinds of things into it which aren't there, and pretty soon we have a whole new wonderful theology based on the wild assumptions we have just made (eg: the Oil is good works, the lamp is the 10 commandments being taught, etc.)
As far as I understand it, the parable fits in with the other parables about the delay and the return of Christ catching some people out, but not the wise stewards, wise virgins etc. They are ready for the return- whether the return is late or early.
This parable focuses on the delay- so late that everyone falls asleep (notice, as Morris says- no-one gets any blame for this, it was not an offense)- but when it is finally time for the wedding (obvious OT parallels with God as Israel/(true Israel)'s bridegroom or husband), what was previously an invisible difference between the bridesmaids comes to the fore: some of them were ready not just for the delay, but more importantly are ready now that the groom has arrived. The others are not ready. The upshot: they don't get into the party- and that is a disaster.
Hope this helps!