With the Forgotten Realms coming to Magic: the Gathering, I thought it would be fun to go into an explanation of the complex cosmic lore of Dungeons & Dragons, with an eye to making it accessible to those who are more familiar with Magic.
I, myself, played Magic long before I ever played D&D, so I sort of came to this in the same way.
The cosmos of D&D has undergone some revisions and changes over the years (4th Edition was quite different,) but the cosmic order that the game tends to return to is what is known as "The Great Wheel."
This ultimately emerges into the Outer Planes, which are the realms of the Gods and tend to be where the spirits of the dead wind up (though there are also relatively ordinary people who are born there too) but we're going to hold off on that, starting from the center.
And that center is the Prime Material Plane. Planes in D&D are like universes, and the Prime Material Plane is the one that most closely resembles our own. It's here where one finds rocky planets that have humans and other humanoid races living on them, though this being D&D, they also tend to have things like Dragons, Giants, Elementals, Beasts (which refers to any non-humanoid animal) and Monstrosities (which refer to creatures that are more unusual than Beasts, but are still fairly animalistic - like Gryphons or Hydras.)
There's really just the main Prime Material Plane, and while there are many different worlds that D&D takes place within, these worlds are all within the same plane. The worlds of D&D sit within a sort of equivalent of outer space, but the way that this version of space works a little differently (it's inspired by medieval notions of how planets and stars work,) with each world sitting at the center of a Crystal Sphere, with its own moons and stars and such. The Spelljammer campaign setting has a sort of magi-tech version of space travel where the eponymous ships are capable of crossing into other Crystal Spheres (for example, the Forgotten Realms world of Toril is in what's referred to as "Realmspace.") But these places are only separated by distance, and so spells that could teleport someone from one city to another on a single world could also work to take a person from one of these worlds to another just as easily.
Most Magic planes would simply be worlds of the Material Plane in D&D.
Just slightly beyond the Prime Material Plane are the Feywild and the Shadowfell. Both of these are reflections of the Material Plane, and if you were to step into either of them, you'd see clearly distinct, yet equivalent features such as cities, mountains, and rivers. However, the tone and feel of these places would be very different. For example, an ordinary mountain in the material plane might have a Feywild equivalent that is some brilliant crystal pyramid, and in the Shadowfell, it might look like a spiky, jagged grey peak with caves that make the face of the mountain look somewhat like a skull.
The Feywild is the land of Faerie, and it's from here that Fey creatures come. The Fey are governed entirely by emotion, and while many are beautiful, their values are distinctly alien from someone from the material plane might expect. While there's a sort of hierarchy among fey that revolves around beauty and physical appearance, there are plenty of dangerous beautiful elf-like Fey as well as dangerous ugly Hags - a race of fey witches that revel in misery and torment. The closest equivalent in Magic would probably be Lorwyn, though the Wilds in Eldraine also fit with the Feywild pretty well.
The Shadowfell is arguably also governed by emotion, but rather than the manic, energetic emotions of the Feywild, the Shadowfell is all about depression, fear, and a sort of numbness. The Shadowfell is filled with the undead, and is also a source of deceptive illusion magic. The gothic horror Ravenloft setting takes place in a group of demiplanes attached to the Shadowfell called the Domains of Dread, though the Shadowfell proper is more like a shadowy, depressing, and undead-filled version of the material plane. While I think Innistrad is more like a Material Plane world that has too close a connection to the Shadowfell than a true Domain of Dread, it's clearly more closely tied to this than any other Magic plane.
Outside of the Material plane, the Feywild, and the Shadowfell, are the Elemental Planes. There's the plane of Fire, of Air, of Water, and of Earth, as well as some border planes that mix these elements. Most inhabitants of these planes are elementals, and the most human-like of the elementals are the Genies, which come in four elemental flavors - Djinn for Air, Marids for Water, Dao for Earth, and Efreet for Fire. The City of Brass (that famous Magic card from back in the day) is actually the Efreet capital city in the Plane of Fire.
Flowing between these aforementioned "Inner" planes is the Ethereal Plane, which is a misty, ghostly realm that also allows passage farther out into the multiverse. While it's useful for phasing through mundane matter, it's also a plane that ghosts partially exist on.
Now, we get to the Outer Planes.
Governing the D&D multiverse in a similar way to how the five colors govern Magic, alignment starts to define things when we get into the Outer Planes.
As realms of the gods as well as the home of things like angels and demons, the Outer Planes are sort of philosophies made manifest. D&D alignment works in a two-axis system. Things can be Good, Neutral, or Evil on the "moral" axis and Lawful, Neutral, or Chaotic on the "ethical" axis.
The "Great Wheel" refers to the sixteen planes that exist with various levels of emphasis on these values. There's actually a seventeenth outer plane called the Outlands, which is the True Neutral plane, and is the main setting for the Planescape campaign setting. The other planes, starting with the Neutral Good plane of Elysium at "12 o'clock" then go: The Beastlands, Arboria, Ysgard, Limbo as the Chaotic Neutral Plane, Pandemonium, The Abyss as the Chaotic Evil plane, Carceri, Hades, Gehenna, The Nine Hells - the Lawful Evil plane - Acheron, Mechanus (the lawful neutral plane,) Arcadia, Mount Celestia, and Bytopia.
The "outsiders" of these planes are generally divided between Celestials and Fiends, with Constructs being common in Mechanus and Aberrations pretty common in Limbo. Celestials are usually good-aligned outsiders, like angels, and come from the "upper planes," (Arcadia through Ysgard.) Fiends, on the other hand, tend to come from the evil, lower planes (Pandemonium through Acheron.) Fiends include, most famously, Devils and Demons. In D&D, Devils are the lawful evil inhabitants of the Nine Hells, always seeking to bind mortal souls with contracts, while Demons are chaotic evil fiends who are less likely to make a deal and more likely to just tear you apart for the fun of it.
I make note of it because it's practically the opposite in Magic, where Devils are Red-aligned, chaotic creatures.
The Outer Planes are connected, somewhat in the same way the Inner Planes are connected by the Ethereal Plane, by the Astral Plane, sometimes referred to as the Astral Sea. This is a featureless expanse in which the bodies of dead gods drift eternally and people can move with their minds. The Astral Sea is a common method of traveling between these planes.
Outside of everything, though, is the Far Realm. The Far Realm is the most alien of alien places, totally outside of reality, and is where cosmic horror creatures tend to come from. The Eldrazi, for example, would likely be beings of the Far Realm if they were native to D&D.
In a typical D&D campaign, you'll never hit all of these - a lot of campaigns are limited to the Prime Material Plane, though at later levels, when spellcasters get some really powerful stuff to work with, most campaigns will at least touch on some stuff outside the material plane.
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