Oh, yes, synesthesia is wonderful. I once did a research paper in Cognition about it. Often people have even more amazing connections -- letters are colored, for example, or arranged along an "alphabet trail," or a particular musical note may be associated with a smell or color. I have a bit of spatial visualization going on in my head like Hal's, but nothing as fun as seeing the letter C as "light mauve with gold sparkles," or associating the taste of pretzels with a deep blue. :)
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