The narrator wakes up but then sinks into the covers and has a chill, not from cold, but from the idea of a frozen world outside. He retreats to the warmth of the bed. But this confinement makes him think of another confined and cold space: the grave. This is where the narrator's thoughts become dark, yet still romantic in that this is the product of his wild imagination.
The imaginative or perhaps supernatural element occurs when he speculates about a funeral train gliding past the bed, dark thoughts in his mind, becoming visible in reality: "things of the mind become dim spectres to the eye." He notes his (or "your" addressing the reader) mourners. Ghosts, death, mourning, and terror: these are all Gothic elements.
He considers his faults and regrets, personified, coming to life (or to visible form): "What if Remorse should assume the features of an injured friend?" He adds, "What if he should stand at your bed's foot, in the likeness of a corpse, with a bloody stain upon the shroud?" All of this is like a gloomy weight upon his soul. What began as a pleasant drifting into a dreamy state has turned into a morbid reflection on mortality and regret.