"S.F. Sorrow opens with the birth of the story's protagonist at the turn of the 20th century. Sebastian F. Sorrow is born in a small nameless town to ordinary parents in a house called "Number Three." The town is supported by a factory of some sort, referred to as the "Misery Factory." ("S.F. Sorrow Is Born") Sorrow, an imaginative boy, has a relatively normal childhood until it ends abruptly when he needs to get a job. He goes to work with his father at the Misery Factory, from which many men have been laid off. This might make S.F. the object of hate in a sense that he might be a scab in the story, or perhaps the young boy who is taking some older man's job, and he comes into his sexual adolescence during this period ("Bracelets of Fingers"). Sorrow's life is not yet over, though. Joy still exists for him in the form of a pretty girl across the street. She says 'Good morning' to him every day, and he thinks about her constantly. This is the factor that keeps him going despite his childhood's abrupt ending. The two fall in love and become engaged, but their marriage plans are cut short when Sorrow is drafted ("She Says Good Morning").
Sorrow joins a light infantry ("Private Sorrow") and goes off to fight in a war, possibly World War I. Sorrow sinks into a daze, living out the entire war in a funk. Soon the sounds of gunfire and artillery become the rhythm to his life in a daydream. He survives the war and settles down in a land called "Amerik" (obviously referring to the country America, because the first words of the song "Balloon Burning" are "New York"). Sorrow's fiance travels by a balloon, the Windenberg (Hindenburg) to join him, but it bursts into flame at arrival ("Balloon Burning"), killing all aboard. Sorrow is left alone, his beloved fiance dead ("Death").
Sorrow drifts into a state of depression that leads him on an epic journey to the center of his subconscious. When wandering the streets, he encounters the mysterious Baron Saturday (a character intended to represent Baron Samedi, a deity in Haitian Voodoo religion). The black-cloaked Saturday invites Sorrow to take a journey and then, without waiting for a response, "borrows his eyes" and initiates a trip through the Underworld ("Baron Saturday").
The trippish quest begins by taking flight into the air, where Sorrow is driven by a whip-cracking Baron Saturday. Sorrow thinks he is flying toward the moon, which would have been lovely as he always had a fascination with it, but instead he sees that it is instead his own face. The Baron pushes him through the mouth of the face and then down the throat, where they find a set of oak doors. Saturday throws them open and prompts S.F. Sorrow inside, where he finds a room full of mirrors ("The Journey"). Each mirror shows a memory from his childhood, which Baron Saturday suggests that he studies well. After the hall of mirrors comes a long winding staircase which brings him to two opaque mirrors that show him the horrible truths and revelations from his life ("I See You").
Sorrow is destroyed by his journey; it leads him to understand that no one can be trusted any longer, and that society will only do away with you when you become old and serve it no longer ("Trust"). He is driven into a dark mental seclusion where he suffers from eternal loneliness. Much like The Wall, S.F. Sorrow is the tale of a man who has endured hardships which he uses to build into a mental wall that cuts him off from the rest of the waking world, and leaves them without light ("Old Man Going"). At the end of the album he identifies himself as "the loneliest person in the world" ("Loneliest Person")
"Ballon Burning"
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