Peculiar Sequence of Words

What is the peculiar property of this sequence of words?

WHAT, HOLE, ALES, TEST

If you take the first letter from each word, you will spell the first word in the sequence.
If you take the second letter from each word, you will spell the second word in the sequence.
If you take the third letter from each word, you will spell the third word in the sequence.
If you take the fourth letter from each word, you will spell the fourth word in the sequence.

WHAT
HOLE
ALES
TEST

Dead Man in a Hut

One day, the police found a man dead inside a hut. In his left hand, he was holding a gun. In his right hand, he had a recording device. When the recording was played, the police heard the man talking about how horrible his life was and how he wanted it to end. The recording ended with a gunshot. The police was about to call it a suicide until one detective pointed out a very important clue. What was it?

If the man shot himself with the gun, then he would not have been able to stop recording with the device.