Bloodcurdling shrieks, fiendish schemes, deeds of darkness, mayhem and mutilation--we all have a rough idea of what Grand Guignol stands for. But until now it has been hard to find out much more about it than that. According to the American theater historian Mel Gordon, no major history of the theater so much as mentions it, although it is a form of entertainment that held its own on the Paris stage for more than half a century. But Mr. Gordon...