Cthulu is a monster from space in short stories by H.P Lovecraft. I've read a collection of short stories by him and other authors called "Tales From The Cthulu Mythos" which is quite cool, about Cthulu and other creatures of the same ilk. It's a good read, some unnerving bits, especially the tale of evil dolphins!
I can't remember if Lovecraft based it on some kind of "real" myth tho.
Metallica are fans of this stuff, and have recorded a few songs based on it like "The Thing That Should Not Be" and "Call Of Ktulu". Nice way of
avoiding any copyright issues there guys. I'm off to write a song called "Enter Nandmas".