I realize that the question up at the top of this post is sort of unanswerable. The truth is that so many writers and DMs and players have and will contribute their own vision of what the Shadowfell truly is that there will never be a real definitive answer. The Outer Planes (which the Shadowfell is not one of, to be clear) are realms of thought and conceptual reality. I think it would be within your rights as a DM to have not just demon lords but every single fiend, and every celestial, represent some concept, to extreme levels of granularity - that they are the idea made manifest, and that the way a mortal mind comprehends places like the Outer Planes or beings from it is by perceiving those abstract ideas as these tangible, embodied entities.
The Shadowfell is one of two planes that were introduced actually pretty recently with 4th edition, along with the Feywild. Notably, 4E moved away from the Great Wheel cosmology that has been part of D&D since first edition and tried to imagine less directly-related planes floating in either the Astral Sea or the Elemental Chaos. Aspects of that "World Axis" cosmology did make it into 5E, but I think the most notable salvage was the Feywild and the Shadowfell.
The Feywild is perhaps easier to imagine because there's cultural precedent for it. The most direct antecedent in real-world myth is the Otherworld of Irish myth. While the pantheon of Celtic deities is certainly not as well-known in modern days as the Greek/Roman (which are technically separate even if the Roman one is very clearly a derivation of the Greek) and the Norse one (personally I was much more familiar with the Greek pantheon growing up, and actually think I spent more time as a little kid thinking about the Egyptian one than the Norse one, but in terms of current cultural impact, the Norse pantheon is pretty big - maybe thank/blame Marvel). But the Irish beliefs about the existence of fairies certainly permeated the culture. The notion of strange, capricious, beautiful but dangerous beings existing in some parallel reality to our own is not unique to the Irish. Indeed, I remember watching an excellent 1964 Japanese film called Kwaidan, an anthology of "ghost stories" whose "Hoichi the Earless" chapter could easily be an Irish fairy tale.
The Shadowfell, though, has less clear cultural precedent. And part of that is that a lot of the spookiness of the Shadowfell is reflected in the very same stories.
Both the Feywild and Shadowfell deal in uncanniness - they are, after all, the planes that are supposed to be nearest to our familiar reality, and are often described as acting as sort of mirror-realms to the prime material plane. The same mountain could exist in all three, though the mountain would take on different aspects depending on its plane (it might be more accurate to say that there are three mountains, but each occupy the same corresponding spot and playing a similar geographical role).
As a child, my sister and I watched the old 1950s Disney movie Darby O'Gill and the Little People, starring a very young Sean Connery. The movie has some very scary parts to it. I was I think 3 when we watched it and my sister was 5, and for years afterward, she insisted on sitting in the middle seat in the back of the car out of fear that the Banshee would come up next to the window, resulting in some unnecessarily cramped car rides. I remember next to nothing about the movie (it's been 34 years - indeed it's been more time since I watched it than how old the movie was when I did, which is nuts) but I looked up some clips a while ago and saw that, in addition to the Banshee, the Dullahan makes an appearance as well.
In D&D, both of these entities are listed as undead, and are more likely to be found in the Shadowfell (though Kobold Press's version of the Dullahan, which predates Van Richten's Guide to Ravenloft, is actually a Fey creature that only looks like a headless rider holding his head out in one hand, but is actually a singular entity, horse and all).
I think that both the Feywild and Shadowfell operate on dream logic. Indeed, when I was first coming up with my homebrew setting and was a little more ambitious in creating my own planar system, my "Shadowlands" was imagined as more of the Dark World from Zelda: a Link to the Past, and was both the fey otherworld and the land of darkness and peril. Bowing largely to the demands of making the setting more accessible to players familiar with the D&D multiverse, I decided to separate them out again.
But I do think they're linked by this idea of dreaming.
I often describe the Feywild and Shadowfell as being Manic and Depressive, respectively (while the term "Bipolar Disorder" is favored today, when I was growing up people with this condition were referred to as Manic-Depressive, reflecting a swing between these two modes). Mania, after all, is not purely good (indeed, some people with bipolar disorder claim that it's the manic episodes that are harder on them) but it's energetic, vibrant, colorful. The Feywild is also energetic, vibrant, and colorful. The Shadowfell, meanwhile, seems to sap energy and color from its inhabitants. If the Shadowfell becomes, effectively, the plane of the undead, then undeath kind of works as a state of having all emotions, all animating passions sapped from the person - a zombie-like state can feel relatable when you imagine those days when you're feeling like you have no energy, you're extremely bored, you can't find anything to stimulate or excite you.
The thing about the Shadowfell, though, is that as a setting, it's sort of overshadowed by a particular part of the plane - the Domains of Dread.
It would be easy to imagine that Ravenloft simply is what the Shadowfell is. Ravenloft as a setting pre-dates the creation of the Shadowfell, getting codified as a real setting beyond a couple of horror-themed adventure modules in 2nd Edition, and of course getting its big 5E update in Van Richten's Guide to Ravenloft (after Curse of Strahd several years earlier expanded and updated the original module).
Officially, the Domains of Dread - the actual setting that is referred to as Ravenloft - are a kind of foam of demiplanes on the edges of the Shadowfell, but that issue got further confused when Wilds Beyond the Witchlight introduced the idea of Domains of Delight as the Feywild equivalent, and made Archfeys the Feywild counterpart to Darklords.
Don't get me wrong, I love Ravenloft (and particularly the version of it that exists in Van Richten's - I hated the idea that the domains were geographically connected in the Core, which was basically just a normal continent. Van Richten's changes it so that each domain is kind of adrift within the demiplane, meaning any journey into the Mists could send you to any domain if you don't have a key to ensure you go where you mean to) but I think the potential of the Shadowfell is vaster than the kind of weird prison-realms of Ravenloft.
As anyone who has been reading this blog a lot recently will know, I've been somewhat obsessed with Alan Wake II, which came out a couple weeks ago. The Alan Wake games are kind of psychological horror games, with a big David Lynch and Stephen King influence. In the second game, the eponymous character is trapped in "The Dark Place," which is a kind of nightmare realm where the stories he writes become reality around him (in a certain way, the entire game takes place with him sitting at a typewriter writing the events of the story, but writing himself into the story and experiencing it as it's written as well - it's a real head trip).
Alan Wake, and indeed a lot of the games by the studio that makes it, deal a lot in Jungian psychological theory, and Carl Jung had some pretty radical beliefs about the Collective Unconscious - a sort of shared mental space between all of humanity that, Jung believed, had a tangible impact on reality (I'll confess here that I'm no scholar of Jung, and I think the degree to which he took his ideas literally is open to debate). There's a lot to suggest that the Dark Place in Alan Wake is literally that Collective Unconscious. The main "villain" of the games is The Dark Presence, which literally manifests by turning people into "Taken," who are covered in a protective shadow and become aggressively violent (the core gameplay is that hostile Taken need to first be blasted with light from a flashlight before you can take them down with guns and other conventional weaponry). But the game also strongly implies that the Dark Presence is none other than the Jungian Shadow, the Shadow being the dark reflection we each hold within ourselves - the person we are convinced we could never be, but which lingers and can cause great harm if it is not recognized and integrated into our psyche. (In other words, for example, learning to recognize one's violent urges and accept that they happen sometimes is better than trying to convince yourself that you don't have them, and see yourself act on them unconsciously.)
I honestly don't think that the way the Shadowfell is presented quite fits in that way, but it might be a point of inspiration.
When I was a kid, the first "grown up" show I watched was Star Trek: The Next Generation. In the first season, shockingly, one of the main characters was killed off in the middle of an episode. The entity that killed her is called Armus. The Enterprise arrives at a desert planet and encounters this super-powerful alien entity that takes the form of a dark pool of sludge, sometimes rising out of it as a somewhat humanoid shape.
While this was definitely from Next Gen's awkward first couple seasons (it really took until season 3 for it to hit its stride,) this episode really fucked me up as a kid. I was watching re-runs - the show came out a year after I was born, so there's no way I would have seen this when it first aired - so I was only vaguely aware of the fact that the episodes were shown out of order (and the whole philosophy on lighting the show and the quality of the footage therefore seemed to vary wildly from episode to episode). But that sludge-monster was absolutely terrifying to me, and has kind of stuck with me. While he survives, there's another point in which Riker is dragged into the sludge - a truly nightmarish image.
As it turns out, the explanation for what Armus is is that the civilization that once inhabited that planet has ascended - becoming some kind of higher, extradimensional people who are enlightened. And they did this by shedding all the darkness within them, reducing it to this sludge that they left behind on the planet that they had grown beyond. No one was ever supposed to come back here, and the episode ends with the Enterprise leaving a beacon warning any other interstellar travelers to stay the hell away from the planet.
Now, of course, the Jungian perspective would be that these people have actually failed to properly enlighten themselves. And, of course, what they've done is left behind a deadly danger. Of course, there's a kind of universal dream of achieving that level of purity. What if one could be without dark thoughts - not to merely repress them, but to truly be rid of them?
What if a universe decided to do that?
Ok, so in my homebrew setting, again sort of before I committed to making it compatible with the D&D cosmology (though there are still some scary truths about it that don't conform entirely - is the Far Realm really so far away? And are we sure that there's nothing but the Astral Sea between Wildspace systems, or are we only looking at a tiny fraction of the Prime Material Plane?) I conceived of the world as being the physical shell for a Primordial (not the 4th Edition elemental titans, but instead a kind of divine being that pre-dated the gods and might not be all that different from a Great Old One). My concept was that the Primordial that was the world's heart (also, this was before WoW introduced the idea of World Souls) decided it wished to shed its darkness, and split its soul to separate off the Primordial Shadow, which became the soul of the Dark World, known as the Shadowlands (again, this was before World of Warcraft: Chronicle). Later, it would be forced to balance this act and split off its manic magical energy into the Esperlands, my equivalent of the Feywild.
As I wrote in a recent post, planes are there to play the part you need them to in the story you're telling. I very much like the idea of running a campaign in my world's Shadowfell equivalent. But I think you could also really run with this idea of it being the realm of the Shadow, in the Jungian sense. A dark realm of the mind's hidden truths.
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