We give a review, in the style of an essay, of the author's 1998 matter-gravity entanglement hypothesis which, unlike the standard approach to entropy based on coarse-graining, offers a definition for the entropy of a closed system as a real and objective quantity. We explain how this approach offers an explanation for the Second Law of Thermodynamics in general and a non-paradoxical understanding of information loss during black hole formation and evaporation in particular. It also involves a radically different from usual description of black hole equilibrium states in which the total state of a black hole in a box together with its atmosphere is a pure state -- entangled in just such a way that the reduced state of the black hole and of ...