I've always found Nyarlathotep fascinating - because he is so vaguely defined. From the Tesla-esque expositor of sinister electrical phenomena in the story 'Nyarlathotep' to the shape-shifting schemer in 'The Whisperer in Darkness', he seems to have evolved and changed quite a bit in Lovecraft's mind.
The Elder Gods are indeed a compelling and memorable creation.
Cthulhu himself is a pretty scary beastie - this description from 'The Call of Cthulhu' is brilliant:
Quote:
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If I say that my somewhat extravagant imagination yielded simultaneous pictures of an octopus, a dragon, and a human caricature, I shall not be unfaithful to the spirit of the thing. A pulpy, tentacled head surmounted a grotesque and scaly body with rudimentary wings; but it was the general outline of the whole which made it most shockingly frightful.
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I think Lovecraft was a master at providing the barest amount of description of his monsters and leaving it to our imaginations to flesh th erest out according to our own fears.