Unlike some other Modern Gothic-Horror settings, the average citizens in the game-world of Windy City MUX have a fairly good handle on their knowledge of the supernatural. To give a rough gist of what a "plain vanilla mortal" would know:
Vampires were outted by the Pope in the early 1800s. Everything that you, the player, have seen or read about them in works of fiction were also filmed/written in the game-world (except for Laurell K. Hamilton works, because that'd just be weird). You know that sunlight is a bad thing for them, they're not fond of crosses, and they specialize in some sort of mind control. In 1993, the U.S. Supreme Court ruled that vampires can apply for American citizenship as if they were alive. It was obviously also around this time that the ACLU found itself stepping to support vampire rights, as well as the formation of some pro-vampire groups (NAAVP, American Vampire League, etc..) and some anti-vampire groups (Humans First, League of Human Voters, etc..)
If you've dealt with them (in a social setting or as co-workers), and they've discussed "vampire politics" at all, the gist would most likely be that their social structure is close to some Mafia sort of connection; it's not unheard of for them to concern themselves with what their peers might report to higher-ups in the chain. There is clearly about one big leader per metropolitan area and there seems to be a "home office" in Paris, but it is not clear if there are smaller offices between the two or under the "don" for a particular metropolitan area. One probably also would have pretty quickly worked out that they can't enter a home unless invited, if one has had a vampire pal over to watch Letterman.
For those who were in Chicago in 2004, the MotC at the time, Satine, had a series of television spots where she supported Mayoral candidate Jason Karoda. She was also quite public about the office for Chicago's vampire affairs being in the John Hancock Building.
There also is a vampire church, called the Church of Eternal Life that sprung up around the time vampires could opt for US Citizenship.
Shapeshifters were known of for the last few centuries, but it wasn't until the early 1900s that it was determined that lycanthropy was a virus of sorts. Roughly, the public has taken a stance towards it similar to the "AIDS scare" of the 1980s, where some folks are utterly convinced that they can catch lycanthropy from a poorly washed drinking glass, some folks think that the disease was sent by God to punish those who are of poor moral caliber, and other folks just accept it as a way of the world.
If you've dealt with them and they've discussed "shifter politics" at all, the gist would most likely be that their social structure is somewhere between a support group (like Alcoholics Anonymous or a Cancer Survivors' Group) and an inner-city gang, with anything in between. Those who don't belong to any pack tend to do their best to keep their condition to themselves.
Fairies have been a part of Europe's history for as long as Europeans have known how to record information. It was high fashion to be able to trace your family line back to some fairies, and this (along with inbreeding) is what led to a lot of the genetic health problems of European royalty. The Founding Fathers of America invited the Fae over from Europe in the 1700s, and they've been immigrating every since.
They tend to stay out of urban areas, settling out in the wilder areas. Initially they started to replace some of the Native American population as the humans' Manifest Destiny spread westward, often now in reservation-like areas. Although not human, they can apply for citizenship like any person born and raised outside of America (even if the fairy was actually born on US soil).
Folks who can do magic exist, but magical items are virtually unknown. Magic can be psychic visions, or zombie raising, or curses, or anything in between. Your character would probably never hear of someone who "learned magic", although the closest would be someone who eventually worked out that they had the knack for magic and just hadn't developed it until some point. There are still a large number of folks who claim to have magical powers, and will bless you or tell your future for some low discount rate if you give them your credit card, date of birth, and Social Security number.
The law really doesn't care for magic whatsoever; rarely will "magically gained evidence" be allowed in court hearings, and it seems that just about any sort of crime assisted by magic leads to the swift execution of the defendant. Many establishments will downright boot and ban patrons that flaunt magic around.
Gargoyles exist. They're nasty flappy bat-winged lizardy-things. In America, they're about as much of a presence/threat as coyotes, while in Europe they're comparable to bears (presuming coyotes and bears could fly). FOX has had more than one "When Gargoyles Attack!" special.
Lake Monsters exist. It's unsure if there's actually one in Loch Ness, but they certainly exist in the seas and oceans and larger lakes. The Discovery Channel loves to have specials on them, usually alongside documentaries on rare types of whales or sharks.
Bigfoot exists. We call them "Trolls" and the really tall killer version was wiped out in America, but you still have yetis out there in the Old World and smaller versions here in America. There is a very large breed of dog (Hound of the Baskervilles sized) called a "Trollhound" (some Europeans might know them as "Trowhunds"), originally bred to fend off aggressive trolls. Animal Planet likes to go out with cameras and follow trolls around the Outback and the Amazon, and a few attempts have been made to teach them sign language as well as how to read.
Dragons used to exist, but were killed out around the time that Columbus was hitting the New World. They were never very populous in the first place, so science has yet to work out if there was ever a species that could fly and/or breath fire like the legends claim, but there certainly were winged lizards the size of trucks that could make a meal of a cow. History Channel has a lot of specials on them.
Animators (folks that raise zombies) are about as common as lawyers, but there's an odd variation on a zombie that sometimes crops up. They're called ghouls, but they're like 'Zombie Attack!' zombies. They're faster than Romero (Night/Dawn/Day of the Living Dead) zombies, but not as fast as 28 Days Later zombies. They move with about as much speed and purpose as Return of the Living Dead zombies, but don't have the wherewithall to radio back, "Send more cops." Basically they're zombies that rose spontaneously, last until they're ground into pulp by someone, and have figured out that eating meat (Preferably fresh meat. Preferably living fresh meat. Preferably living fresh brain-meat) keeps them strong and husky. Normal zombies are mindless automatons who only do what they've been told to do by the animator who raised them (although the animator can point to someone and tell the zombie to do what that person says), and they do those things painfully (or amusingly) literally. EG: If you just tell a zombie to "take a package to 123 Main Street", it'll plod along, heedless of traffic, then stand in the building (or outside the door) without letting go of the package. Zombies conk out when daytime comes, and need to be raised nightly for long-term things (like construction work).
Ghosts exist, but they tend to only manifest for those who really really want to see them (or those who are paranoid about them). Some folks have claimed to have conversations with them, but they're generally quite useless; your average ghost just goes through the motions of what kept them from moving on, over and over again.
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