"Cold winds are rising, and the dead rise with them."
--Tyrion, Game of Thrones (season two, episode two)
It is common for fantasy universes--like those of Lord of the Rings, God of War, or Legend of Zelda--to feature creatures foreign to our experiences in the external world. It is not unusual for at least some of these creatures to be regularly encountered (at least by those who look) or spoken of, like wizards or orcs in Lord of the Rings, minotaurs and sirens in God of War, or fairies in Legend of Zelda. In Westeros, however, fantasy beings are regularly doubted, denied, or spoken of mostly in historical records.
The world of Game of Thrones is marked by a noticeable general absence of fantastical creatures; it is not that they do not exist in Westeros or that they never existed, but that they are in the background, sometimes so far away that people do not think they still exist. And what kind of evidence would it take to demonstrate the existence of such beings as giants, dragons, or White Walkers? To clarify, White Walkers are humanoid snow-dwelling beings that can reanimate corpses, and, though they are unique to Westeros and do not appear as a species in other universes like giants or dragons do, they are not unlike necromancers of sorts. How could an ordinary citizen ever know what to believe about these species? Yes, there will be spoilers below (I am now in season five, for readers who have noted my progress as I periodically update it).
From the very opening scene of season one it is clear that, yes, White Walkers do exist in-universe. North of the land's castles and cities there is a massive wall, formed long ago to prevent White Walkers from invading. But a man who flees his post as a member of the Night's Watch, a group that presides over the wall, to report the appearance of White Walkers to a lord is executed, his story doubted by those who hear it. In Westeros, some people deny the return of the very creatures their great wall was designed to keep out! The entire reason the wall the deserter came from was built to stave off White Walkers, and yet when he warns Lord Stark about their presence, he is ignored!
In season two, Jon Snow is surprised to see a giant when he enters a wildling camp, with wildlings being humans living beyond the wall that are viewed as savages by the southerners. The wildlings live on the same side of the wall as the White Walkers and burn their dead so that the corpses cannot be reanimated. Eventually, due to the impending threat of the White Walkers, the wildlings attack the wall when they are not allowed passage through it to safety (season four, episode nine), accompanied by several giants. And yet, during the assault on the wall, a member of the watch denies the existence of giants although there are some attacking the wall right below him!
This is not, in my experience, the typical attitude towards fictional creatures in fantasy stories. The distant existence of giants other fantastical beings is yet another way that Game of Thrones displays its uniqueness in the fantasy genre. This approach is unconventional, considering the number of stories making fictional beings much more prominent. It isn't just the moral ambiguity of the characters that separates Game of Thrones from a great deal of fantasy, but the way that mythical creatures are handled. Whereas orcs, elves, goblins, and giant eagles populate Middle-Earth and are widely known to exist, Westeros is a fantasy universe with a famine of some fantasy elements--exotic creatures and magic do exist, but they are sparingly included in the show. It helps make the world of Game of Thrones more comparable to our experiences. But this, of course, can lead to questions about how the Westerosi can know if things like dragons or giants exist in their world.
I cannot fully prove to myself anything about the external world other than that it exists, that it is made out of physical matter, and that I am perceiving particular material objects that might not actually exist in the external world (perhaps I am misperceiving them somehow and have inaccurate perceptions) [1], but seeing a White Walker or a dragon would fully prove to someone seeing it that he or she is perceiving a White Walker or a dragon. The Night's Watch deserter really did know as he was staring at a White Walker that he was seeing a creature he probably did not expect to find. I cannot know if what I am seeing corresponds to the way the external world actually is, but I can know if I am seeing a dragon or not. The strongest attainable evidence of fantastical creatures is simple observance of them.
The closest many inhabitants of Westeros can get to this knowledge, though, is mere hearsay or historical documentation. Yet the citizens of Westeros can know that there is indeed historical and hearsay evidence for the past existence and contemporary reemergence of beings like the White Walkers! In our world, there is no such evidence for giants or White Walkers. If Westeros were our world, the stance towards creatures like the White Walkers that rationalists who care about self-preservation would have is that of Tyrion from season two: he does not claim to know if the Walkers exist or not, but he acknowledges that the wall is the only thing protecting Westeros from what lies beyond and he does not dismiss the warnings of the coming Walkers as untrue.
[1]. https://thechristianrationalist.blogspot.com/2017/08/the-external-world.html
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