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These two poems Keats' "La Belle Dame sans Merci" and Tennyson's "The Lady of Shalott" are expressions of unrequited love, the contrasts between the world of reality and the world of imagination, and the difficulty of the two worlds coexisting.
Both poems are about unrequited love. Keats' poem concerns a pale knight who after experiencing a tryst with a beautiful "fairy's child" feels abandoned and dejected on a "cold hillside." In Tennyson's poem, the lady leaves her secluded shadowy world to find enter the real world that Lancelot inhabits. She dies before she reaches Camelot and meets Lancelot.
Both involve the contrasting worlds of imagination and reality. Keats' knight after experiencing the extraordinary world of the imagination cannot bear the dullness of the real world; Tennyson's lady, after only knowing the shadowy secluded world of fantasies, cannot survive in the bright world of reality.
Both poems reference stories about mysterious women from medieval legend. Tennyson's poem references a number of specific characters from Arthurian legend, while Keats' poem is not based in any particular legend or folklore, but portrays a scenario he crafted particularly for this poem. In both poems, we see a mysterious woman who has an unusual relationship with the realm of romantic love.
Keats "beautiful woman without mercy" is a woman who seduces men with her beauty and lures them to the world of faery where these men may be imprisoned for years, possibly living in a strange limbo state between the realms of the living and the dead.
By contrast, the Lady of Shalott is herself imprisoned by a curse that is not very well-defined. She is forced to weave upon her loom and is not allowed to look down towards Camelot. When she does look upon a procession, she sees Lancelot and falls in love, and it is the beginning of her downfall. She climbs into a boat and floats downriver. It is suggested that she dies of unrequited love.
Unrequited love is also a theme of Keats' poem, but it is the knight that wanders forlornly in search of the lady. Tennyson portrays a lady who forlornly wishes to be united in love with a knight (Lancelot). Both poems portray the sadness and despair that result from the idea of romantic love (a theme that was common in medieval literature), but also make these emotional narratives the subject of beautiful and evocative poetry.
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