What are some popular types of religious writing in the colonial period? 

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Perhaps the most famous form of religious writing associated with the colonial period was the jeremiad. Jeremiads were usually sermons written by Puritan and Puritan-influenced ministers that decried the downfall or corruption of religious piety in society, and warned of terrible consequences (i.e. God's wrath) if people failed to reform their ways. Probably the most famous, and certainly the widest read jeremiad would be "Sinners in the Hands of an Angry God" by Jonathan Edwards, though it is more a jeremiad in style than in content. Another possibility might be the "conversion narrative," which individuals were required to make before they were officially granted full membership in the Puritan church. Sometimes these narratives were published in newspapers. Captivity narratives, such as that of Mary Rowlandson, were also highly religious in nature and described an individual's experience while in captivity among the Indians. These, I would argue, fall under religious literature because the experience was usually framed as a test or a trial sent by God to remind the individual of the importance of piety. Rowlandson's captivity narrative, for example, was named The Soveraignty & Goodness of God, Together with the Faithfulness of His Promises Displayed; Being a Narrative of the Captivity and Restauration of Mrs. Mary Rowlandson, a title that pretty neatly summarizes the tone and the message of the work.