In 1572, Montaigne began writing a series of essays, or Essais, as a way to occupy his mind. This project proved revolutionary.
Before Montaigne, writing was typically public and purposeful. In the early modern period, it was extremely rhetorical, or audience-oriented. Montaigne, on the other hand, wrote these essays, or "attempts," as a way for him to contemplate his own thoughts. Many of the topics are read today and offer valuable insights on the human condition; others are seemingly very trivial.
Bacon's essays engage in the same enterprise: recreational thought designed to contemplate the mind in action. This same metacognitive activity seems to have influenced others, including Shakespeare in Hamlet.
This more casual or private thinking and writing is signaled by the less serious-sounding preposition, "of." Each little essay appears almost as many a blog post would today: unrelated to what goes before or after, ephemeral in its purpose, reflective...
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rather than argumentative. This title seems to pre-empt anyone from taking the essay too seriously as a work of finished and fixed thought, even if Bacon meant what he said.
The English titles of Bacon's essays follow conventions dating back to classical antiquity and Greek and Latin titles. Before the Hellenistic period, ancient Greek literature was normally written on papyrus rolls. Information concerning authors and the title or subject matter of the book might be added to a small tag attached to the roll, but works did not begin with title pages the way modern works do. In fact, many of the "titles" we have for ancient works are simply labels added by librarians rather than official author-created titles in the modern sense.
For many non-fiction works, the labels attached to books on papyrus rolls simply indicated the name of the author and the subject matter. For example, "Longinus Peri [of, on, or about] Hypsous [the sublime]" just means "Longinus about the sublime" and "Aristotles Peri Poietikes" means "Aristotle on Poetics."
The titles for Bacon's essays reflect this tradition of simply naming works by the subject. The word "Of" is used in a manner meaning "on" or "about" to indicate that the essay contains Bacon's thoughts about a specific subject.