Sorry, I'm a huge Lovecraft nut, and while I don't buy into a lot of the classifications of the Mythos (most of that shit comes from Derleth or even just the roleplaying game by Chaosium) there's a pretty clear distinction between his more mythological beings, like those seen in the Dreamlands stories, and the hardcore Old Ones like Cthulhu. I personally see it as Cthulhu basically being an alien, though one that is so old and powerful it might as well be a god. Azathoth, Yog Sothoth, and maybe Nyarlathotep are different. They are part of the universe itself, the fabric of existence. I'm not sure how Nyarly works like that though, because he takes an active role, whereas Azathoth basically does nothing but drive people insane who get an inkling of him, and Yog Sothoth is occasionally used but doesn't really take any active role (With the exception of Through the Gate of the Silver Key where Randolph Carter, the only Lovecraft Mary Sue, has a conversation with Yog Sothoth).