Going Cosmic is when a show or story that was ostensibly about something else starts delving into deep theological and philosophical issues. Frequently, but not always, this entails the introduction of a monotheistic deity with a strong resemblance to the Judeo-Christian God.
In some cases, the show may have really been about something else to start with, but the writers ran out of ideas and so decided to explore the meaning of Life, the Universe, and Everything. This type of Going Cosmic is usually fairly sudden and happens at the start of a new season.
The other form of Going Cosmic is when the Cosmic ideas which were always in the background start shoving their way to the foreground and overshadowing everything else. This tends to be a more gradual process.
Usually indicates a Writer on Board. Expect a lot of What Do You Mean, It's Not Symbolic? and Contemplate Our Navels. Often results in Jumping the Shark. Sometimes a symptom of Cerebus Syndrome. Compare Big Damn Movie, where a film adaptation of a mundane series is given an epic storyline. Compare What Do You Mean, It's Not Didactic?
Doesn't have to do with Space X or other tropes that actually deal with space.
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Anime & Manga
JoJo's Bizarre Adventure starts a noticeable shift near the end of Part 5 when it starts taking on themes of fate, gravity, power, and so on, whereas before it involved mostly simple good vs. evil stories.
The level of mystical, philosophical weirdness caused by the main characters' Psychic Powers tends to escalate towards the end of most Gundam shows, though gods or anything like that are never mentioned.
Neon Genesis Evangelion is, at the beginning, a show about teenagers battling aliens in Humongous Mechas. Then they delve into psychology and apocalyptic transhumanism, and the last two episodes are exclusively spent psychoanalyzing the main characters and trying to formulate a way to end human suffering.
Puella Magi Madoka Magica is, at the beginning, a show about Magical Girls battling monsters as a payment for having their wish granted. Then suddenly it's about morality and how your actions reflect (your lack of) it. Then it's about eschatology and the efforts to stave it. And then the main character becomes God, with all the (mostly-unenviable) responsibilities of such position.
The Phoenix Force serves this purpose for X-Men. Being the force of all sentient life in the Multiverse, it is basically an avatar of God. It has a complicated relationship with the X-Men through Jean Grey.
Promethea has the frame of a superhero story but most of it is rooted in the exploration of symbolism. The protagonist spends many, many issues traveling through the Sefirot and the Tarot cards on a spiritual journey.
Latias' Journey starts out as a story about Latias chasing her crush, Ash Ketchum, after the Ghost King destroys her home. By the end of the story, the ENTIRE MULTIVERSE was destroyed (except not really), and we get several chapters full of navel-gazing on the nature of life, death, and the universe that turned out to be part of a simulation run by an evil computer program who wanted to take over the universe for himself. At least the sequel starts off cosmic, and keeps going back and forth from there...
Subverted with the Transformers films. The first film was a basic science fiction/action film with Transforming Mecha. Transformers: Revenge of the Fallen introduced the Fallen, the Lucifer/Judas character of the Transformers universe, as well as the story of the ancient Primes and Ancient Astronauts. For the third film, Unicron was considered, but the final product scales back from the grand scope introduced in the previous film, going back to the first film's science fiction/thriller tone, with the Autobots fighting a rogue Sentinel Prime and a full invasion force of Decepticons.
The Star Trek film Star Trek V played with this trope. At first, it seems to be veering towards Going Cosmic with the Enterprise being directed towards a voyage into the heart of the Galaxy to find God. At the climax 'God' was an imposter — just an alien wanting a lift on the Enterprise
Orson Scott Card is prone to Going Cosmic. The Ender series is a classic example, starting with the tightly written sci-fi classic Ender's Game, then getting more and more Cosmic with each successive sequel, as it expands into speaking for the dead, xenobiology, virology, philosophy, inter-dimensional travel, and inter-personal struggle.
Note that Philotes, as the third book was called when it was a mere draft, wasn't originally intended to be part of the series. Card's publisher forced him to add a third book to the series, and he figured that adding Ender to the existing story would both fulfill the requirement and add life to a story that wasn't very interesting as it was.
The Chronicles of Narnia were always a Christian allegory, but the "allegory" part got lost somewhere along the way, with the final book being pretty much a direct stand-in for Revelation.
Something similar happens in the pro-atheist His Dark Materials trilogy, a counterpoint to Narnia. The Golden Compass is a fantasy-adventure story with an evil church as the bad guys. The following books in the His Dark Materials trilogy go cosmic by extending across various universes including Heaven and the Underworld and the Big Bad being God (or an angel claiming to be God; still, it gets very theological and epic).
Joe Haldeman's classic The Forever War is a science-fiction allegory for the Vietnam War that uses relativistic "time travel" to great dramatic effect. The sequel, Forever Free, involves discovering the true purpose of life in the Milky Way and meeting (essentially) God.
Frank Herbert's Dune - The first novel is a measured study of the interplay of ecology, science, religion & politics, but is positively action-packed compared to the fourth book, God Emperor of Dune.
Terry Pratchett's Discworld has done this over time, moving from the parody of fantasy and roleplaying games of the first books into some quite deep 'Stealth Philosophy' later in the series. Although the tendency was there from quite early on (the feminist critique of Equal Rites being the first major outbreak), it's become much more prevalent in later books.
Live Action TV
The remake of Battlestar Galactica. The show started out as the story of a bunch of human survivors on the run from renegade robots bent on genocide, with occasional hints at a theological basis for the whole business. In later seasons, the episodes of divine intervention became more and more blatant.
Supernatural started out as a Monster of the Week show focused on urban legends. Now it's about the impending Apocalypse, with angels and demons duking it out, Greek and Egyptian gods showing up, Lucifer sermonizing on the evils of humanity, and the protagonists caught in the middle. The monster legend adaptations also got less accurate.
Star Trek did this with Deep Space Nine. Technically, the god-like entities are explained as being non-corporeal life-forms that exist inside a wormhole, but they differ from gods only in title, and sometimes even that distinction is eliminated as one of the focal points of the series is an entire planet that religiously worships the wormhole aliens. Captain Sisko at many times tries to provide scientific explanations for what goes on, but later on the series is forced to admit that the universe holds things queerer than we can fathom, and that the religious followers might actually be right about a lot of things. The Prophets' role in the story and Captain Sisko's role as their "emissary" increases steadily every season.
Stargate SG-1 got much more serious in the last two seasons with the charlatan Goa'uld and classic science fiction themes being replaced by the Ori, who bear a much stronger resemblance to actual deities.
Many games of Unknown Armies have this as the explicit goal. First you start off learning about how weird and twisted the world really is. Then you move among the people who embrace the weirdness, and maybe pick up some of it yourself. And then you start competing in the game to remake the universe...
Xenogears. What starts out as a game about using giant robots to overthrow an oppressive technologically advanced empire steps off the edge of the pier at the start of the second disk and quickly turns into game about killing "god" and stopping a madman with a Messiah Complex from ending human existence as we know it. The game starts throwing out Old Testament biblical references like they'd just gone bad to the degree that you either need to be well-versed in Biblical lore or play the game with a decent encyclopedia close by for it to make sense. Or just read Perfect Works.
Xenoblade continues the tradition, but to a lesser extent. You don't start fighting god until the last ten/twenty hours, depending on how many sidequests and how much grinding you did.
Pokémon started out with a variety of animalistic creatures that at times show relation to certain concepts and natural forces, but weren't really considered to be rulers or representatives of said forces; the rarest monsters were much more scientific in orientation (Mew being the genetic ancestor to all Pokémon, his clone Mewtwo being genetically engineered). Since then, we've had Pokémon that have been able to revive the dead (Ho-oh), Pokémon that rule over land, water, and air (Groudon, Kyogre, and Rayquaza, respectively), Pokémon that rule over time, space, and other dimensions (Dialga, Palkia, and Giratina), Pokémon that rule over elements of the human mind (the Lake Trio), and finally, God (Arceus).
And now we have what seem to be representations of Dark Yin and Light Yang with Zekrom and Reshiram.
Who, themselves, turn out to be the personifications of Ideals and Truth, respectively.
Marathon: Gheritt White had been floating six feet off the floor for three weeks...
The World Ends with You initially seems to just be about playing a game for the main characters to get their lives back, but upon reading the Secret Reports, a lot of background is given to the world, with gods, fallen angels, and alternate realities. being thrown into the mix.
Dragon's Dogma starts off as the adventure of a random fisherman going on a quest to kill a giant Dragon. Then, after you kill said Dragon and the game is seemingly over, a hole to the center of the world opens in the middle of the largest city in the world opens, you jump into it and eventually meet who may or may not be god, a previous Arisen just like the protagonist, who has gotten tired of existing forever, then kill him to take his place, in a series' of fights that are less Boss Fight and more exposition discussing life, the universe and the cycle of life in the universe, all while you're stuck between universes. And then you die. And then you're not dead but your pawn is you. Suffice to say, it gets cosmic.
Homestuck Starts off with a group of friends who play a game on the protagonist's birthday. 7000 pages later, the author was killed by the metaphorical representation of Fan Dumb, the kids are adrift in the void between worlds, the comic's reader in another dimension contemplates suicide and the protagonist starts traveling through canon with the power to Retcon reality. It got weird.
Transformers went this way in the Beast Era. Beast Wars was about small groups of Maximals and Predacons fighting a relatively small war with big consequences on prehistoric Earth, but towards the end brought in the Transformers' religion. The sequel show, Beast Machines, was all about identity, consciousness, and the balance between freedom and chaos.
Oddly for the metaseries, religion was dealt with exclusively from the perspective of the faithful, arguing over interpretation of their holy text. Usually, when a Transformers series goes religious, it means Robot God Primus and Robot Satan Unicron are at it again in a cosmic battle for the fate of the universe. Considerably more awesome, but less philosophical.
Exactly how cosmic a Transformers series becomes depends on the creators of the particular work of fiction. The Unicron Trilogy dealt heavily with Primus and Unicron, with long, epic stories surrounding the Autobots and Decepticons being caught in the battle of the two gods. Naturally, as those series were considered lukewarm at best, and horrible at worst, the two series following those (Transformers Animated and the Transformers Film Series) kept Primus and Unicron out of the limelight. While the films' Expanded Universe hinted at the two existing, they were never shown to be proactive in the present. Meanwhile, Animated decided to be rather ambiguous about the Transformers' origins, though Word of God says that, as far as he is concerned, Primus doesn't exist, though Unicron might. The main reason for leaving the two out of the equation is that, when one boils down to it, having an ultimate force for Good and an ultimate force for Evil in a story usually ensures that the Good will undoubtedly win (at least when applied to a children's show). It's no wonder then that IDW's comics also skirt around the issue; there's more drama when things don't necessarily happen Because Destiny Says So. Transformers Prime, and the new Aligned Continuity as a whole, have brought Primus and Unicron back, however; but since this is now more or less an Ultimate Universe for Transformers, it's only natural that the two be included in some form.
In Transformers Prime, we go the Devil but No God route: "By the Allspark" is the go-to "Oh My Gods!" exclamation of choice as seen in some other series, but that's all we get on the creative side of things. Unicron, however? His blood is the "Dark Energon" that is used to basically perform Black Magicwithout calling it that, and Megatron's been pretty Badass since jabbing a chunk of it into his Spark. What's it doing on Earth? Unicron is the Earth's core, under our feet the whole time, that's what.