The universe, as in our own very real universe that you and I are currently occupying, is astoundingly enormous. No human being has ever gone farther away from their home than those astronauts who circled the moon (give Michael Collins some credit as the first person to be that lonely in history while Neil and Buzz were on the surface.) And yet our planetary system is just one among several within our solar system, itself just one among an absurd number in our galaxy, which is itself just one among an absurd number of galaxies.
Likewise, the human race has only been around for about 300,000 years. By contrast, the Earth is 4.54 billion years old. And even within that 300,000 years. Human civilization, on the other hand, is generally held by historians to only have existed for about 5,000 years. The entirety of humanity's recorded accomplishments exist within a 1.7% sliver of our species existence and the entire span of physiologically modern humans is just .007% of the planet's existence. The universe itself, dating back to the Big Bang, is thought to be 13.77 billion years, which means that there's more than twice the amount of time before this planet formed than there has been since it did.
Space dwarfs us and time dwarfs us, and there is a certain existential dread that bubbles up when you realize just how utterly minuscule and insignificant you are in the face of the cosmos.
That is cosmic horror.
Or, rather, I think that's the emotion that inspires cosmic horror. At the core of the subgenre is the notion that everything we, as a species, has accomplished is insignificant, and could be washed away in an instant. Furthermore, humanity's identity on Earth is one that is built upon the assumption that we are the apex of evolution - that no other creature on this planet has ever matched our imagination and intelligence. Though we are a young species, our accomplishments are unprecedented, as is our power.
Cosmic horror imagines that this assumption is incorrect.
I think it's notable that some of the most iconic figures of the Cthulhu mythos are not, though they might seem to be, actually extra-terrestrials. Cthulhu himself is from Earth. The bizarre barrel-shaped creatures from In the Mountains of Madness and their Shoggoth servants that turned on them are from Earth. Any sense of actual human supremacy is exposed as a lie, that our seeming dominance of the planet is just a momentary interlude between the reigns of far greater beings.
Cosmic horror, particularly the works of H. P. Lovecraft, have been a major influence on the fantasy genre. In particular, Lovecraft was a contemporary of Robert E. Howard's, the author of the Conan the Barbarian stories, as well as other serialized heroes like Kull and Solomon Kane. It was actually these pulp-fantasy figures, rather than Tolkien's high-minded fantasy epics, that were the primary inspiration for Dungeons & Dragons. Howard incorporated some of the Cthulhu mythos into his Hyperborean Age inhabited by Conan, and the earlier Atlantean age that was home to Kull (I believe both were set within the same fictional history.)
And in D&D, the figures that resemble parts of the Cthulhu mythos are reflected in things like aberrations, Elder Evils, and Great Old Ones (the latter of two can often be conflated, though I'd argue there could be subtle distinctions - a Great Old One, I think, might not be evil because it is too alien in its mindset to hold any actual contempt.)
There is a great deal of overlap, though, with demons. Of course, D&D has its fair share of fiends. Devils I think most generally match the portrayal of evil as depicted in the Western/Christian model. They are corrupters and more often have the classic horns, forked tongues, hooves, and tails. Demons, on the other hand, are somewhere between that and Lovecraftian horror.
In particular, Demogorgon, one of the most powerful of the demon lords, borrows an element of the King in Yellow, a figure created by Robert W. Chambers, which Lovecraft incorporated into his mythos as a being called Hastur. The original story, the King in Yellow, is about a play that drives anyone who sees it insane. The King in Yellow has a sign - an abstract symbol - that has the same effect upon people. Demogorgon, likewise, has a sigil that can induce madness in those who see it.
While the more explicitly cosmic horror monsters and the more classical demons do overlap quite a bit in their use as monsters in a D&D story/campaign, this actually just gives you the opportunity to pick and choose which you want to use. Indeed, Tharizdun, a Greyhawk deity who is also something of a broader, setting-agnostic one, is more or less a Great Old One himself, and it's said he created the Abyss in the first place, so the connection between him and demons is there already - the otherworldly madness a stark contrast to devils' more classical Mephistophelean mold (though one tin-foil hat theory I really enjoy is the notion that Asmodeus, the evil god at the pinnacle (or nadir, rather) of the infernal hierarchy (who is basically The Devil as opposed to a devil) might, in fact, be a Great Old One as well, and the whole bureaucratic business of Hell is actually a cover for some other, more eldritch plot.)
While cosmic horror has, at its core, these very disturbing questions about the relevance of humanity and the machinations of unknowable, unspeakable ancient evils, the truth is that most of their stories are grounded in a more mundane environment.
The Lovecraftian protagonist is typically someone who is well-educated and rational. Scientists, explorers, or just well-to-do but highly educated men of means are the usual viewpoint character for a Lovecraft story. Oftentimes, the story takes the form of some kind of personal account of an investigation of some sort. In The Call of Cthulhu, the narrator has received the research materials left to him by his recently deceased uncle, who has been compiling notes on the bizarre worldwide cult to an entity called Cthulhu. The final vignette of the novella describes a ship that discovered an uncharted island which turned out to be the sunken, now risen city of R'lyeh, where Cthulhu was in some kind of death-like hibernation before his crew accidentally awoke the titanic monster, leaving the few survivors traumatized to the point of suicide.
The Shadow Over Innsmouth is the account of a man who decides to take a tour of the northeastern coast of Massachusetts to see if he can track down stories of his own ancestry, only to become trapped in a hostile and dilapidated town where the people have interbred with some sort of bizarre fish-like people known as the Deep Ones, worshipping some underwater entity known as Dagon, and chronicles the narrator's attempt to escape the mob of deformed residents who want to capture him for mysterious purposes.
Lovecraft himself is a deeply, deeply problematic author, as his stances on race were considered bigoted even in the 1920s. It's ironic, given that the core of the subgenre for which he is the quintessential author is built upon humanity's irrelevance, that he should favor the white anglo saxon over the other insects that could be swept away at any moment if the Old Ones sneezed in our direction.
Still, countless authors have deconstructed this bigotry, even transforming inhuman aliens into relatable creatures with whom we can have a relationship of mutual respect (man, Star Trek is awesome,) but also reconstructing it by approaching the subgenre from places that are not solely the domain of the white man.
Horror is often built upon the disempowerment of the protagonist. Ironically, cosmic horror does not require this, because it, instead, goes the route of having monsters that are so powerful that there's nothing we could possibly do that would even grab their attention, much less harm them.
However, it also typically has a hierarchy of power, and therefore the monsters we face, while certainly frightening in their power compared to ours, might themselves be the tiny fleeing prey of a far greater monster. This actually allows a cosmic horror story to contain monsters that can be fought by an adventuring party, while still retaining the sense of dread that comes from knowing there's something much scarier out there.
All that being said, I generally think the best cosmic horror stories are the ones in which the "monsters" are either on the periphery or not even present. Instead, the antagonists can be other humans (humanoids in D&D, but you get it) who are convinced that they understand the eldritch powers at work and can profit from them.
I highly recommend the game Bloodborne for this. While in typical From Soft, Dark Souls fashion, the story is very obscure and must be pieced together from item descriptions and such, what eventually becomes clear is that the setting's primary religious organization is actually the attempt to build a society around the use of "blood" of a Great One. Yharnam, the city the game is set in, has descended into total chaos, but in the midst of this is a schism between the scholars of the School of Mensis and the church's leading elite, the Choir. By the time you arrive at either's headquarters, disaster has already struck - the Choir's headquarters have been overtaken by Beasts (essentially werewolves, but as revealed later in the game, the result of these eldritch experiments) while the School of Mensis attempted to commune with the Great Ones and died when their brains were essentially overloaded by the power of the things they sought to communicate with.
Thus, a humanoid antagonist in a cosmic horror story is one that will likely cause their own destruction - the heroes are more concerned with preventing collateral damage, as these experiments that the villain wishes to perform will likely cause massive harm if not apocalyptic destruction for the rest of the world.
Cosmic horror often adopts an aesthetic found in other late 19th/early 20th century genres. This often includes the detective story, with the twist that uncovering new knowledge is not the way to correct some injustice, but instead will expose the protagonist to truths so disturbing that they will break their entire worldview.
Notably, not all cosmic horror stories end as bleakly as The Call of Cthulhu or The Shadow Over Innsmouth. Sometimes, like Van Helsing in Dracula, the rational, scientific mind can prove capable of overcoming the monster, such as in The Dunwich Horror.
Personally, I think you could make an argument that surreal horror is a variation on cosmic horror. This would be exemplified by creators like David Lynch, whose works like Twin Peaks deal with unexplained and dream-like terrors, but emphatically raise more questions with each potential revelation of the logic behind it all. In Twin Peaks, the entities of the Black Lodge are clearly alien and terrifying, but there's a dream-like familiarity to them.
Surreal horror might deserve its own post, though I'll be frank that the broken logic of surreal horror can be difficult to adapt to a game like D&D. Still, it's my favorite horror aesthetic, and so I think deserves some exploration.
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