What are words that describe the setting in "Annabel Lee"? 

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The beginning lines give us the basic setting. We hear from the speaker that the poem is set in a kingdom near the ocean, which seems to invoke the idea of a monarchical and feudal territory, therefore setting the story in a specific period of the European past:
"It was many and many a year ago,
In a kingdom by the sea..."
Other indicators, such as "I was a child and she was a child," perpetuate the idea that the setting is harking back to a past event, and diction such as "highborn kinsmen" perpetuates the idea of the feudal time period.
But the poem focuses in to the speaker's present at the very end of the poem when he states:
"For the moon never beams, without bringing me dreams
Of the beautiful Annabel Lee;
And the stars never rise, but I feel the bright eyes
Of the beautiful Annabel Lee;
And so, all the night-tide, I lie down by the side
Of my darling—my darling—my life and my bride,
In her sepulchre there by the sea—
In her tomb by the sounding sea."
Here, it becomes clear that the speaker is not just in the kingdom, he is with Annabel Lee's body in her tomb—in the "sepulchre there by the sea." These details offer the chilling detail that the speaker has indeed not been separated from his love, that he visits her body and looks into her eyes at night even though she is deceased.
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The setting is the time and place of the action of a story.  This narrative poem has a distinct setting.

The poem establishes part of the setting in the first lines.

It was many and many a year ago,
In a kingdom by the sea (lines 1-2)

The speaker establishes that this happened long before the poem was written, which would be likely the early 19th century, since the poem was written in 1849.  Establishing the setting thus shows that Annabel Lee has been dead some time, but the pain is still real to the speaker.  The second line establishes that the couple lived near the sea somewhere, likely on the east coast of America given the autobiographical nature of the work when Poe’s wife Virginia died.

At this time, medical technology was not as advanced.  Note the cause of Annabel’s death.

A wind blew out of a cloud, chilling
My beautiful Annabel Lee; (lines 15-16)

In modern times, people still die of pneumonia and the like, but it is less likely because we have more advanced medicince.

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