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As I read them, Kierkegaard's writings can be split into two groups: the mostly philosophical psuedonymous, and more theological non-pseudonymous works.

I have read primarily the pseudonymous works (Either-Or, Concluding Unscientific Postscript, Fear and Trembling) and a few other bits and pieces (including The Book on Adler and the Two Ages review).

So I'm wondering, do the non-pseudonymous works (the "discourses" and so on) add much to the understanding of the pseudonymous/philosophical works to justify spending time reading them?

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Well, I have not read any of Kierkegaard's writings (but I'd like to at some point). However, an author who uses pseudonyms usually does so to distance themselves from the works that are attributed to the false name. Sometimes authors take up pseudonyms in order to be free from social or political problems if their true identities became known. According to Wikipedia, the Brontë family and Jane Austen wrote pseudonymously for that reason.

Thankfully, Wikipedia actually quotes the author himself on his reasons for using names other than his own:

... As is well-known, my authorship has two parts: one pseudonymous and the other signed. The pseudonymous writers are poetic creations, poetically maintained so that everything they say is in character with their poetized individualized personalities; sometimes I have carefully explained in a signed preface my own interpretation of what the pseudonym said. Anyone with just a fragment of common sense will perceive that it would be ludicrously confusing to attribute to me everything the poetized characters say. Nevertheless, to be on the safe side, I have expressly urged that anyone who quotes something from the pseudonyms will not attribute the quotation to me (see my postscript to Concluding Postscript). It is easy to see that anyone wanting to have a literary lark merely needs to take some verbatim quotations from "The Seducer," then from Johannes Climacus, then from me, etc., print them together as if they were all my words, show how they contradict each other, and create a very chaotic impression, as if the author were a kind of lunatic. Hurrah! That can be done. In my opinion anyone who exploits the poetic in me by quoting the writings in a confusing way is more or less a charlatan or a literary toper.

To me, that indicates that Kierkegaard himself preferred to think of his pseudonyms as separate individuals as if they were characters in a novel rather than alternative representations of himself. It's not the case, it seems, that he was writing his "true thoughts" in his pseudonymous works.

As to whether you should read them, that depends entirely on how important it is to you to recover the true content of the philosopher's thoughts. I've asked what I think to be a related question on the feasibility of accomplishing that goal in the general case.

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The answer to your question depends largely on what it is you wish to get out of Kierkegaard's works.

If you're unsure whether reading the theological works are worth the effort, there are several resources that can help you decide: one is D. Anthony Storm's excellent Kierkegaard website which contains summaries and analyses of all of Kierkegaard's works; another is Joakim Garff's Kierkegaard biography which treats of all of the works, pseudonymous and otherwise, within the context of Kierkegaard's life.

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There's an essay in Either/Or that made me think I got the sense of what Kierkegaard was trying to do. Kierkegaard had an extremely well developed sense of aesthetics. But here was this man, arguing that he had found a proof of why Mozart's Don Giovanni was the best work of music that there ever could be.

That's a ridiculous claim, and he argues it pretty well. I got the sense that that was the whole gist of the pseudonymous works... that they're about complexity and sophistication and philosophical argumentation that's designed to lead people out to something further... and taking it so far that they're revealed to be preposterous.

His signed works (I'm thinking Works of Love and The Point of View) go the other way. They're more religious, but so was The Sickness Unto Death. I thought what was distinctive about them was that their direction was in reverse. They went from sophistication back to simplicity.

If the sophisticated arguments in Kierkegaard's pseudonymous works are still impressive, I think perhaps read more of them... 'till they seem ridiculous. I got the sense that the signed works were intended for those who had been broken or made weary by the pseudonymous works.

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Kierkegaard's goal for his authorship was to lead his readers toward a way of living that he considered the best that a human being could live. To accomplish this he used "direct" modes of communication in which he described for his readers what he believed (and signed it) and "indirect" communication in which he described alternative points of view that prevailed during his time. He intended his reader to see himself or herself in these alternatives and Kierkegaard would then develop these to their logical extreme. He used pseudonyms for this indirect communication. For example in "Either/Or", volume I represents the aesthetic life which, in its most complete form is Romanticism. Volume II represents the life of bourgeois virtue, Hegelianism applied to marriage, vocation and friendship. The exception to this account of volume II is the final letter of the priest from Jutland, which hints of a third way. For more, see my "Kiekegaard's Philosophy: Self-Deception and Cowardice in the Present Age".

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There is a correspondence between the 'direct' and the 'indirect' works. There tends to be at least one 'direct' work per 'indirect' work, that takes up the same questions and themes as the 'indirect' work and was published at nearly the same time. The parallels between the two bodies of work are very important, and you're missing a great deal if you read the pseudonymous works without the context provided by the signed works.

For instance, October 1843 saw the publication of Fear and Trembling (which is indirect), Repetition (which is indirect), and Three Upbuilding Discourses (which is direct). The first part of Three Upbuilding Discourses is about (at least in part) how love does not depend on external circumstances, but rather on one's internal state. The movement described in Fear and Trembling from being aesthetically determined to being a knight of infinite resignation to being a knight of faith is precisely the movement by which a person comes to live as though the claim that love does not depend on external circumstances is true. The love of the aesthetic person depends entirely on external circumstances; the love of the knight of infinite resignation is partly spiritual and internal, but also partly external (in a different way) and so they despair; and the love of the knight of faith is internal and spiritual.

This is just one of many such parallels between the pseudonymous works and the signed works. In fact, it's almost like there's a kind of conversation between the two bodies of work, between Kierkegaard and his pseudonyms.

This idea is explained much more fully by Mark Sinnett in his book Restoring the Conversation, which is excellent.

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What you've read are primarily the earlier pseudonymous works. Kierkegaard is sometimes spoken of as having two periods of pseudonymous authorship and simultaneously a prolific set of pastorals written in his own name. If you look at a timeline of both together, you will see he published at a prolific rate and sometimes released a pseudonymous work on the same day as a work in his own name.

In the title of your question, you speak of "understanding Kierkegaard" but in the body of your question, you speak of understanding the pseudonymous works. I will address both and the resources I take to be necessary for either goal.

If you want to understand Kierkegaard, I would think you need the following: (a) a thorough background in modern philosophy especially Kant and Hegel, (b) a familiarity with Lutheran Christianity in Denmark and its history, (c) reading mostly the pseudonymous works of which I would recommend the following: Part of Either/Or, Philosophical Fragments, Fear and Trembling, and Sickness unto Death. In terms of his own authorship, I would recommend Works of Love and 1 discourse -- Purity of Heart is to Will One Thing. It would also be helpful to read editions that include excerpts from his journals which talk about his process of authorship.

To understand a particular pseudonym, I would recommend reading My Point of View as an Author but also excerpts from journals which explain what sort of perspective the respective pseudonym takes -- specifically whether the pseudonym is supposed to be Christian [i.e., do they have faith?] or not and to what extent they are supposed to be able to see through the stages -- the aesthetic, ethical, and religious (or ethico-religious).

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