No artist ever led a stranger life than Joseph Cornell (1903-72), the self-taught American genius prized for his enchanting and disquieting shadow boxes, an art form all his own. By now, many legends surround Cornell: that of the painfully shy hermit lost in a world of books, silent movies, and long-gone ballerinas; that of the patiently devoted caretaker who would rush home from an afternoon at the Manhattan galleries to minister to his mother and...