This is something that mankind has speculated about since the dawn of time. Well, maybe not that long, but somewhere around the year 1000 BC, give or take a few hundred years, some people started thinking about the nature of the world. Some early theories stated that everything consisted of water, that everything consisted of the strange substance phlogiston, the the whole being of existance was in a process of constant change or that the whole being of existance was static and never changed (it is only our perception that changes).

Fast forward to Plato. His ideas were pretty revolutionary; he postulated that not only did the true nature of the universe never change, it was indeed separated from the reality that we know. There existed an immaterial universe of perfected ideas, where every object in our imperfect material universe had an true, beautiful and perfect counterpart. However, we can not perceive those abstract ideas, only the 'shadows' of them.

Immanuel Kant was on to something similar; in his model we can not experience the world directly since all perception is filtered through our senses (Kant counts sight, smell, touch, but also cause and effect and temporal perception as some of those fileters).

Clearly, the idea that the true nature of the universe is in some way hidden from us is not a new one; modern variations are for example the notion that the government is hiding the truth about who runs the world from you (common among conspiracy buffs and X-files enthusiasts), or New Age ideas that the world is really a more wonderful place than you can ever imagine. Also, I think the buddhists believe that we only see the world through a veil, but I'm not sure if that's the correct interpretation. Anyway, it seems that discovering the true nature is for many people the ultimate goal; many have made it their mission in life (although I suspect most of them also belive that this is a futile goal but that the journey is its own reward). Depending on your point of view, succeeding in this quest could be wonderful or terrible. For example, reaching nirvana and becoming One with the World is a Good Thing, but discovering that you are indeed living in the world of the Cthulhu mythos is definitely a Bad Thing.