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Much like romantic paintings of this same era, the setting and plot of "The Devil and Tom Walker" are rich with color and beset with the supernatural.
Romantic painters often included mystical beings such as cherubs and angels in their work, particularly since the era was still largely influenced by Christianity in its various denominations. Along with this belief in heavenly hosts came a belief in Satan (the devil), who is referred to in this work as "the dark woodman" or "Old Scratch." It was not uncommon for people of this era to believe that one could strike deals with the devil in a Faustian fashion, but the other portion of that belief always stated that the price paid by those who did such dealings was entirely too great -- meaning one had to sacrifice one's soul in order to receive the promised benefits from Satan himself.
In addition to the plot, the setting is a key to this story's dark romanticism. Our protagonist, Tom, meets the devil when he goes into "the woods," always a place of danger and evil in any symbolic literature (Hansel and Gretel, Mythology, etc.). The woods represent a straying from the true path of life, and when one strays, he/she becomes prone to the influence of evil, represented here by Old Scratch. Romantic literature frequently uses wilderness to foreshadow evil or wrongdoing, and this story is no different.
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