Lovecraft’s circle shared mention of their separate creations in the pages of Weird Tales, name-dropping here and there a friend’s character or some other reference. This was the beginning of the Cthulhu Mythos. Not everyone at Weird Tales was included, just the closest correspondents of Lovecraft’s. Later August Derleth would take what was largely a game for HPL and tie it into a commercial package that featured monsters, weird books and a shared world of dreams and terror. I suspect Manly Wade Wellman tried a little of this magic too.
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