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In A Plea for Captain John Brown, Thoreau writes:

This event advertises me that there is such a fact as death—the possibility of a man’s dying. It seems as if no man had ever died in America before; for in order to die you must first have lived. I don’t believe in the hearses, and palls, and funerals that they have had. There was no death in the case, because there had been no life; they merely rotted or sloughed off, pretty much as they had rotted or sloughed along. No temple’s veil was rent, only a hole dug somewhere. Let the dead bury their dead. The best of them fairly ran down like a clock. Franklin,—Washington,—they were let off without dying; they were merely missing one day. I hear a good many pretend that they are going to die; or that they have died, for aught that I know. Nonsense! I’ll defy them to do it. They haven’t got life enough in them. They’ll deliquesce like fungi, and keep a hundred eulogists mopping the spot where they left off. Only half a dozen or so have died since the world began. Do you think that you are going to die, sir? No! there’s no hope of you. You haven’t got your lesson yet. You’ve got to stay after school. We make a needless ado about capital punishment,—taking lives, when there is no life to take. Memento mori! We don’t understand that sublime sentence which some worthy got sculptured on his gravestone once. We’ve interpreted it in a grovelling and snivelling sense; we’ve wholly forgotten how to die.

Of what veil does Thoreau speak here? What might be meant by the best of them being missing one day?

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User @MattThrower is correct regarding the "tearing of the veil"--a Biblical allusion indicating a significant death. This answer elaborates a bit more on the context and why Thoreau is making these claims.

Thoreau is writing about the armed abolitionist John Brown. He is most famous for his raid on Harpers Ferry, Virginia, during which he attempted to liberate enslaved people there, arm them, and provoke an uprising that would lead to further liberation. It didn't work; he was eventually captured and executed in December 1859, but this raid is commonly taken to be one of the actions that would lead directly to the American Civil War 15 months later.

Thoreau delivered this speech in October, before Brown was executed, but anticipating that he would be put to death soon. Thoreau is stating his strong support for John Brown's abolitionist cause, and arguing that--compared to the majority of people who have ever lived--Brown's death (as a martyrdom for the cause of ending slavery) has great significance. He argues that by contrast to Brown, most other people don't really "die", because their deaths have no meaning--no political or symbolic significance and no social impact in themselves. Thus no matter how great someone like Franklin or Washington might have been while alive, when they die they are just gone; their deaths have no real impact as actions in themselves. By contrast, John Brown's death is worthy of the name--by dying a martyr, his death itself is an action, not just something that happens to him eventually--because (Thoreau argues, presciently) it will ultimately bring about a great and just change in the world.

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The reference to the temple veil is an allusion to the Biblical story that the veil in the temple in Jerusalem which separated the two holiest rooms in the temple was torn at the moment of Christ's death. It is told in three of the gospels:

And behold, the veil of the temple was torn in two from top to bottom; and the earth shook and the rocks were split. [Matthew 27:51]

And the veil of the temple was torn in two from top to bottom. [Mark 15:38]

because the sun was obscured; and the veil of the temple was torn in two. [Luke 23:45]

These quotes are all from the New American Standard Bible.

Thoreau is using it here to indicate an event of great import at the moment of a death. He is using it in the inverse, indicating that the deaths of everyday folk, at least those for whom "there had been no life" are not moments of great import. They deserve nothing like the tearing of the veil, only "a hole dug somewhere".

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