Not all clues should point to the right direction.
There have been red herrings in printed Call of Cthulhu (CoC) scenarios, but usually in scenarios all clues in handouts or otherwise point to the right direction to advance the investigation in question. This makes it fairly straightforward for the Investigators to follow them in order to solve the mystery or whatever case they are working on.
What in my opinion should be used more, are actually developed red herrings: not just clues pointing to fruitless, wrong directions, but sub-plots that require the Investigators to follow lines of inquiry that do not advance the main investigation. These lines of inquiry should probably be relatively short, and used only in big scenarios or full campaigns, obviously not in short stories that need to be concise.
But as part of large story, especially a big campaign (consisting of several connected scenarios), these wrong paths can be used to allow the players to experience and the story's creator and Keeper (GM, game master) to develop parts of the game world otherwise neglected or unimportant. Such stories can be used to introduce new characters to the Investigators. These could be characters from other scenarios, or they could be historical figures. They can also be player characters (PCs) already created by the players, or they can be otherwise interesting characters that can be turned into new Investigators (PCs) if new PCs are needed.
Sometimes a sub-plot that is essentially a red herring from the point of view of the main story/investigation can still be an interesting investigation in its own right. For example, in an investigation into a suspicious cult's activity can lead to an investigation on a murder (or several murders) in the area. Although the Investigators manage to solve the murder, they find no connection to the cult. They may even become convinced (correctly) that there is no connection. This may seem like a failure, but then again they did solve the murder.
One very good type of red herring for an investigation into paranormal phenomena is obviously an alleged paranormal phenomenon that is actually completely natural. The magazine Skeptical Inquirer and the many writings of the famous investigator Joe Nickell provide many good examples of such investigations that can be used in RPGs. Using such stories would probably also educate young players who might otherwise not know about real investigations into paranormal claims.
It would be possible to publish red herrings separately so that Keepers can include them in their campaigns as they see fit.
It is also possible for the Keeper to combine two or even three scenarios, so that the players do not know it. It takes some work, but may be rewarding. The Investigators can begin their investigation normally, perhaps being hired by an NPC. As they gather more and more clues, they will probably be confused a bit, but eventually they should realize they are dealing with two separate mysteries (or whatever).
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