I love the fact that trying to understand them inexorably leads a human mind with it's frailties and limitations to madness unless already insane to begin with. These gods are awesome because they are so clearly dismissive of whatever corner of reality and time/space humans exist in that they don't demand sacrifices or take any interest in getting involved with any mortal consideration.

"[O]utside the ordered universe [is] that amorphous blight of nethermost confusion which blasphemes and bubbles at the center of all infinity—the boundless daemon sultan Azathoth, whose name no lips dare speak aloud, and who gnaws hungrily in inconceivable, unlighted chambers beyond time and space amidst the muffled, maddening beating of vile drums and the thin monotonous whine of accursed flutes."

That sounds ten thousand times more horrifying than any description of gods in most modern tales. Just imagine seeing a piece of a being whose very appearance and existence makes your brain revert to primal horror at the fact that such a monstrosity exists and doesn't give a damn about your existence...indeed it might wipe you out of existence merely by comprehending you. That's a pretty awesome description of a scary thing and somehow the anthromorphic superbeings in most fantasy stories don't seem as scary.

I was going to say the Christian God, because I consider the work fictitious and seriously the stuff that happens in the Old Testament is HILARIOUS, but I didn't want to offend anyone.

I'd also agree about the Valar except for the fact that they were so boring. I loved "The Silmarillion", so I have a lot of knowledge in the area of their history and lore, but you can tell the series was written by an older male scholar - the characters feel old and brittle.