Samtemdo8 said:
What is the worse Cthulhu and all the other Eldritch Space Gods can do and are capable of?
The worst?
As I'm sure a million people have said by now, Azatoth is the worst on the end of the scale. A sleeping mass of incomprehensible...stuff, that created the universe without knowing it (Some interpretations have reality literally be his dream while he sleeps). If it ever "wakes up" or realizes reality exists, one of three things will happen.
1) *pop* Reality and everyone in it ceases to exist like that dream you had 3 years ago today that you don't even remember happening.
2) Reality goes completely incomprehensible and all of us are suddenly living in a yellow scream where reality isn't real and nothing makes sense and all is madness until he goes to sleep in some time again and a new reality settles down for a while.
3) If it's not in his dream and he just made it a physical thing while sleeping, everything gets smashed, gnashed wracked torn worn slaughtered eaten mashed crushed rent poofed until everything in the universe is destroyed by the "Blind Idtiot God".
Take your pick about which one of the three is more terrifying and run with that.
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As for the lesser beings, they're mostly scary because they don't operate on normal morality.
For examples, I'm going to reference the Call of Cthulu LARP I'm part of.
One powerful being in the LARP is a being who looks like a stag. He's surprisingly reasonable and protects the town from anything that wanders in from another world. But he's also hyper aggressive and wants souls because souls are power, and although he has an alliance with the local lord of town, said Stag thinks it's totally a cool thing to make a deal with the lord of town's future wife to gain a hold on the guy's soul. And then use that leverage to demand that he and the lord of town hunt one another to the death in the forest because that's what best friends do, right?
Another powerful entity was a slain lesser deity thing in the form of a giant catfish (at least to mortal eyes) who was revived by being born from a person's womb after she sacrificed herself in the catfish goddess' name. Who wants to keep reality as it is (IE, keep the Sleeper / Azatoth sated and asleep), but who also thinks it's totally "reasonable" to demand regular tribute in the form of sacrifices ("I like souls, they make me strong, and you humans just don't see that you're not dead after death, you're so touchy"), cover the town in endless rain ("Doesn't everyone like being wet?"), Threaten to murder everyone in town unless someone becomes her Priestess and spreads her word, then non-consensually turn said priestess into someone who has literal venomous snakes as internal organs that can run around separately from her ("There, now you are protected all the time, aren't I the best?

"), and thinks said priestess is safer riding on her back in the face of a small army than safer kidnapped to two towns over so she can't interfere or get hurt in the inevitable showdown ("YOU STEAL HER, you a monster! You bring her back now or become my new high priest or I eat everyone alive right now! She only safe if fighting for me!"), goes from raging maniac to giggly fun girl within 2 seconds flat, AND who thinks that taking hostages into her lair to "keep them safe" also entails drowning them to death while her fish people act out "the little mermaid", because that's just good manners on the hostages part ("I keep them safe from big fight, least they can do is give me a little gift of Power!").
So yeah. They don't operate on our kind of morality, and that's scary because you can't reason with them and they can slaughter you if you don't cater to their whims.