Once you've read "The Raven" through, you're probably pretty used to the idea of a talking bird. But step back from that for a second, and think about it. If we heard a bird talk, we'd probably run screaming from the room. At the very least, we think it qualifies as pretty darn supernatural. The speaker thinks a lot about where this bird came from, whether it's some kind of demon, or maybe even a prophet. He also ponders deep issues, such as the afterlife and the existence of God.
The poem carefully closes down any possibility for salvation, hope or happiness. The supernatural elements of this poem are purely evil and malevolent.