No offense to the Cthulhu or Warhammer Chaos loving guys but, none of those baddies make any sense. The Cthulhu ones are at least interesting, but the Chaos enemies are just out for the kill, and are largely uninteresting to me. They also aren't very...chaotic. Given that they ALWAYS appear in certain forms, and have set goals and plans, they are a bit contradictory. Not really Chaos-ey. And their motivations are just...well...epic for the sake of having an epic foe, really. They just don't grab me.
The Horrors, OTOH, have understandable, if sick and twisted, motivations. And they have the powers and abilities to ensure that they need never confront anyone directly and risk themselves. The more mindless ones jump into the fray and fight (and quite well) but the more intelligent and powerful ones don't need to and are smart enough to deny their prey any hope of escape. Think about it, if you were a hunter in the woods searching for his next meal, would you give it any chance to harm you or escape?