To Marion Zimmer Bradley's Fantasy Magazine.
If you don't know the significance of that last statement, you've obviously never received a rejection letter from MZB. I waited for three months, then I came home from class one day to find a return letter from MZB. It said (and I quote), "...I found the events in this story so preposterous that I could not believe in them, or even suspend my disbelief long enough to believe in them for the duration of the story. To suspend one's disbelief does not mean hanging it by the neck until dead."
It was a year before I had the nerve to submit anything else anywhere else.
Now, I'm not knocking MZB. Her letters are short, to the point, and actually provide helpful advice as to why the story didn't work. The fact that it didn't pull any punches is also, I think, a good thing.
Writing is not for the faint of heart. At least, publishing is not for the faint of heart. If your ego is so fragile that you can't bear to hear (or read) someone say that they didn't like your story, well, maybe you would be better off as an accountant or a taxidermist.
Eventually my nerves recovered, and I started writing and submitting again. I was still getting rejections, but I had learned to expect that now. I eventually finished undergrad, went to grad school, finished up there and went on to another grad school. In the process I eventually I made my first sale.
Yes, you guessed it. To Marion Zimmer Bradley's Fantasy Magazine. (Gosh, if this wasn't true, I'd suspect this of being some predictable Hollywood by-the-numbers story).
I still get rejection letters. I save them all. It's a pile an inch thick, and I expect it to grow thicker. But one thing's for sure, I couldn't have made that first sale if I hadn't been willing to risk my ego there again.
Of course, one might ask, why bother? Why subject yourself to that sort of thing? Are you that insecure that you need someone else to tell you that you're good? Well, sort of. Allow me to quote (rather extensively) from an article by Isaac Asimov:
Since writing is itself a schooling, you can't very well expect to sell the first story you write... But then, why should that discourage you? After you finished the first grade at school, you weren't through, were you? You went on to the second grade, then the third, then the fourth, and so on. If each story you write is one more step in your literary education, a rejection shouldn't matter. The next story will be better, and the next one after that still better, and eventually-- But then why bother to submit the stories? If you don't, how can you possibly know when you graduate? Of course, even after you sell a story, you may fail to place the next dozen, but having done it once, it is quite likely that you will eventually do it again, if you persevere. But what if you write and write and write and you don't seem to be getting any better and all you collect are printed rejection slips? Once again, it may be that you are not a writer and will have to settle for a lesser post such as that of Chief Justice of the United States. -- Isaac Asimov Asimov on Science Fiction Doubleday, 1981
For another and perhaps more informative perspective on rejection, go see these words from Patricia Duffy Novak.