While I do love Cthulhu, and what he represents to the whole of the Lovecraftian Mythos, if you pinned me down and forced me to choose my favorite cosmic horror beast-monster-god, I'd have no choice but to choose Nyarlathotep, the Crawling Chaos.
I just dig his whole origin of coming out of nowhere like a benevolent prophet, in a form resembling a pharaoh, and creating a false following of people who basically idolize him, but also how he's the bringer of the apocalypse. I've only read his initial storied appearance a few times so I'm still gleaming bits of it here and there, and what he represents.
Oh, also I do love how most of his artistic renditions have him with a noodle for a head. All the images below belong to their original creators and artists, and are used here without any permission. I think I found most of them on Pinterest.