“Imagine an epilogue to this scene in which the soldiers explain, despite everything they have just seen, they still don’t believe in Apollo. They have just witnessed the blatant, irrefutable appearance and activity of the god himself, forever altering their lives and the history of their nations, but they’d prefer not to think about it too much.”
–Fred Clark, The Anti-Christ Handbook
Think of a story where characters who have blissfully spent their lives in a mundane world until they’re rudely interrupted by some creature from Biblical apocrypha*. It’s perfectly natural they’d be shocked, but the disbelief continues for way too long. Possibly the most egregious example of this is the Left Behind series, which features a giant, splashy miracle– Israel being divinely protected from a massive nuclear attack– to which the majority of the characters In fact, I have yet to see one of these characters do what seems like the totally rational thing– that is, run screaming to the nearest church or mosque**.
This oddity sometimes extends to aliens and Standard Urban Fantasy Creatures, with only the occasional character tapping their popcultural knowledge of alien invasion stories or folklore about werewolf biology to deal with the aforementioned extraterrestrial or supernatural being. Now, if it is established that the inhabitants of your setting have never contemplated aliens (maybe they’re 12th century Europeans and believe they’re alone in the solar system), that’s a completely different matter. But if your setting is ‘like current reality unless otherwise specified’, it’s bizarre that no one babbles something about the X-Files.
In a where blatantly supernatural things happen, the skeptical position quickly becomes illogical and untenable. Your characters should adapt to the new circumstances, even if their assumptions aren’t spot-on.
If you want to keep the suspense going about whether or not something is supernatural is going on, there needs to be a lot of plausible deniability. One of the best examples I’ve read James Hogg’s The Private Memoirs and Confessions of a Justified Sinner. What makes this book so marvelously creepy is the tension between three theories about the narrator’s tale: it could be supernatural misadventure, insanity, or deliberate lies, and we see evidence to support and contradict each of these.
If you’re going for straight up, unambiguous fantasy, the characters need to have realistic responses to the supernatural. If this is a part of their world, they should accept magic the way we accept gravity or seasonal change; if it is a recent revelation or development, they should be actively adjusting their worldview. But for the love of Ceiling Cat, if Ceiling Cat does run your fantasy universe, your characters should lay off their skepticism and go collect him some cheezburgers.
*I’m an old-school Church of Scotland type and am thus completely unequipped to field questions about the End Times, demons, or exrocism (I’m pretty sure we’d just give the demonic entity a stern talk about antisocial behavior).
**Actually, I’d quite like to see a character think outside the Abrahamic box sprint to a Hindu temple in response. From what I know about that pantheon, they could hold their own against whatever is after your character.