I enjoy historical settings in fiction for the same reasons I enjoy form poetry: high risk, high payoff. What I mean is that when one writes a sonnet or a villanelle, the structure imposes serious challenges. A mediocre free-verse poem can hide behind the veil of subjectivity. A bad sonnet screeches like a murdered parakeet. Yet I doubt anybody in the twentieth century wrote a better poem than Dylan Thomas' villanelle Do Not Go Gentle Into That Good Night. The rhyme and repetition drive those words home with a power free verse can't muster. Thomas creates another world by daring to proclaim it, thrusts us into it, and then makes us feel what he wants us to feel.
Likewise, setting one's novel in the past imposes a structure. It's a bit like describing a foreign country one can't visit. Historical fiction demands a high level of research; without it, the narrative rings false at best, and, at worst, is hilarious. Of course, very few of us can speak with authority about what life was like in 1935. And nobody at all can tell us much about the Middle Ages (the timeframe for my second novel). But relying on the ignorance of one's audience is a cheap trick, and nothing a writer with self-respect would do. When I research a historical setting, I want to know as much as I can about what it was like to be there physically: How did people speak? What did they eat? What music did they enjoy?
Regarding Those Across the River, what was in the newspapers? What products were being advertised? What were the steps involved in starting a Ford Model A or in cleaning a 1911 .45? Research rewards the author with unexpected fodder; I didn't know, for example, that Little Orphan Annie was the spokesperson for Ovaltine. Once I found out, I used the image of her lifeless, white eyes staring down from an oversized advertisement painted on a brick building to underscore the sense of isolation the main characters feel as they begin to realize what they're up against.
The payoff for good research is that the author gets to transport the reader even farther away from his or her reality. Done convincingly, historical fiction gifts the reader with that impossible ticket to that dead country. The reader is utterly reliant on the author as both stationmaster and guide, and any misstep will result in a breech of faith.
But, if it is rendered well, historical fiction is completely immersive; and, as such, it is a delightful vehicle for horror. There. I said it. I recreate a plausible past, ask the reader to jump into it, and then scare the hell out of him or her. Why?
Because that's what I would want done to me.
Don't show me serial killers doing ever more creative and gruesome things to their victims. Don't give me terrorists and bombs. I can find those things in the newspaper. We all have plenty of reasons to be afraid in broad daylight, and that's no fun. Once you trust me I can take you away from all that. I can make you afraid in the fun way; I can make you afraid of the dark.