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I've been thinking this morning about horror literature (and film), both of which I have long been an aficionado, but which lately I've been approaching from a more philosophical and lit-crit perspective, and reading much more horror-related and horror-adjacent non-fiction.
I don't have a full answer, of course. Some horror lets us vicariously experience the extremes of human emotional life — grief and loss, guilt and shame, as well as, of course, pain and fear. As I get older, I find this kind of horror tends to increase my empathy. Of course, certain kinds of horror, especially in film, may do the opposite, desensitizing the viewer to the suffering of those on screen.
Cosmic horror, though, doesn't deal much in common human emotions. Alienation, dread without a clear object, a loss of faith, even in what one has always perceived as reality. What does practicing these gain us? Eugene Thacker, in his "Horror of Philosophy" series argues that it helps us think about the limits of the thinkable, whether that be the divine, or the world after human extinction. Thomas Ligotti, in "The Conspiracy Against the Human Race" suggests that it represents a kind of "depressive realism", in which you are able understand your true predicament, as a conscious being with the illusion of free will in a deterministic universe, in a way which you can't understand it in ordinary life.
The horror non-fiction I've been reading so far has been closely tied to horror fiction as a genre, either as philosophy or as literary analysis. But I have a few works of "collapsology" on my to-read list. This might be the truest form of non-fiction horror, with an opportunity to feel both the empathetic and alienated perspectives. I'll see when I get to them.
One of my favourite films is Pandorum, not because of the gruesome nature of it, bit simply the sense of existential dread and madness that is rooted and deep seated within us all, and how the film makes it clear that none of us are immune to it.
I can't say I know exactly WHY we write horror, but I have a proposal as to one of its uses. Reading the horror literature of a culture is a deeply honest perspective into its fears, and by extension, its values. A horror anthology podcast I enjoy, The Magnus Archives, would be considered part of the cosmic horror subgenre. It uses the system of "terrifying otherworldly eldritch beings" to create a sort of examination of people operating under systems larger than themselves, and the kinds of questions about morality and free will that raises. It's a fairly direct link (especially given the content of the podcast) to capitalism / the current state of things.
Now that I type that, though, I realize there's an obvious potential answer to the first question. Horror can help us bring up questions that are otherwise difficult to think and talk about, or just ask those questions in a new way. E.g. - to take an example from aforementioned podcast - if you're born into a corrupt system, to what extent is are you responsible if you perpetuate that corruption?
I've never heard of "horror non-fiction", but it sounds interesting. Do you use the term to mean "nonfiction that is horrifying", or something else?
I've always seen it as riding a roller coaster: a rush of adrenaline, especially with movies and (even more) with video games. Gore horror films (of which I'm definitely not a fan) maybe are good to prepare your stomach for a real situation which involves blood, exposed injuries and what not? I don't know, I imagine a situation in which I need to help someone who has suffered a horrible accident. Could a history of watching these films help me at least look at the scene without fainting? Maybe.
I didn't know the concept of cosmic horror, although I have read some of Lovecraft's work. I agree that it could help expand the limits of what we think about life.
Wow, I was unaware of the variations you mention. I never quite got with the overall genre, and probably never will... but I'm hoping to remember some of your points en route to sounding at least mildly knowledgeable on the subject for the first aficionado I encounter in public!