There are many layers to this answer!
Start thinking about simply the general idea of a monster-like "god" figure like Cthulu. Take a look at the details provided in the literature. What do they make you, the reader feel? Imagine if Cthulu was real- what questions do you have about his power, existence, intentions, etc.? What is unimaginable about a situation where Cthulu is present in your every day life?
The idea of something so far from our reality can be quite frightening. What does Lovecraft offer in his writing that evokes those feelings from you?
