This is pure Ultimate Showdown of Ultimate Destiny: how does 1D6 investigators per round translate into 40K?
We've got stats for Horus, many other Primarchs, daemon princes and the like, so using those as your guideline, you've got to stat Cthulhu (or your favourite similar Mythos god, or other suitably Vast And Nameless Horror like, say, Sovereign in 'Mass Effect').
What statline, what special rules, what unique rules, etc... do they get?
Remember: it has to be playable. So no 2++ invulnerables or other cheap gaming shorthand to make it intimidating.
How many marines should it take to spank the lord of R'lyeh?