In the fiction biz, you're supposed to avoid the 'infodump'. An 'infodump' is a chunk of text where you lay out background information that the reader needs in order to understand the world that you have created. Mostly, it refers to an inelegantly crafted method of doing this. A prologue, for example, or having one character tell another one.

"As you know, Tom, the cyborgs rampage on Tuesdays. They will seize anything and everything they can get their genetically altered six-fingered hands on. You've doubtless been told to stay indoors behind the ionic barriers on Tuesdays."

"Yes, but could you go over it again?" replied Tom.

"The ionic barrier scrambles a cyborg's neural connection net, which, as you know, is what connects their human brain to their robot body. If a cyborg tries to come through the ionic barrier, he'll collapse and be unable to move."

Another form is what I call the 'had storm'.

Billy had gone to the store the previous day, and had made sure that he took his meagre purchases through Stefanie's checkout. She had, as previously, given him a warm smile, and he had asked her out. To his delight, she had agreed, and they had agreed on dinner and a movie.

It's more common in fantasy and science fiction, because you're moving your reader to a world that is at least somewhat different, otherwise it wouldn't be fantasy/scifi.

The way you're supposed to do it is to reveal the information gradually, showing it rather than telling it. This is, as are all things, easier said than done, particularly in a short story, and so I'm always on the lookout for better methods of providing an info dump.

Diary entry - having a character make an entry in a diary is a good way to create an info dump, and provide some characterization at the same time.

A rant - this is probably a perfect info dump if you can work it in, because of the very nature of rants. Someone ranting isn't going to give a crap whether or not those in listening range know anything about the subject. Rants are pure output. A character going off on a rant spews stuff out, and you can provide an info dump quite plausibly.

Normal conversation - I think it quite reasonable to have information come out in a conversation. For example, if our hero winds up in a parallel universe, it seems to me quite plausible that he'd discuss the state of things with the woman he picks up in a bar. Or whatever. I mean, you just don't go switching universes without it becoming a topic of conversation at some point. Right? The trick is to make sure that it's plausible, not the transparent "author needs to get this info out so character will have a thoroughly unlikely conversation" method.

21 Grams

I haven't seen the movie. The trailers, however, have a voiceover something like "They say we all lose 21 grams at the moment of our death..."

This piece of misinformation is going to become something everyone knows. It is, of course, completely false, and the movie weasels around this by adding 'they say'. Who says? Clearly, if a single dipshit somewhere says it, then the movie can claim 'they say', without actually telling a lie.

Saddam - Al Quaeda

No link, admits Powell. Surprise, surprise, surprise. On the same day that the Carnagie Foundation reports in their study that US/British claims of Weapons of Mass Destruction were dramatically overstated.

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