you should read some h.p. lovecraft to find out the answer to that.
cthulu was one of lovecraft's "old gods":
in general:
Cthulhu - Wikipedia, the free encyclopedia
the first creepy story: call of cthulu:
The Call of Cthulhu
he's also a cute purple plush toy. a friend of mine used to balance a couple cthulu toys on pianos that i would be performing on. i was never quite sure what to make of that. i think most people thought him a squid.