I hit writer's block, so to keep my daily attendance streak going, I'll post some of the material I have on hand. Since Yog has already been covered, I'll switch to Nyarlathotep and Shub. This can also serve as an introduction for anyone unfamiliar with them.
Nyarlathotep
Nyarlathotep first appeared in Lovecraft's 1920 story of the same name, "Nyarlathotep." In the story, Nyarlathotep was also called the "Crawling Chaos" and was described as a slender, swarthy man who resembled an Egyptian pharaoh. He traveled around the world, using wondrous scientific techniques to bring unimaginable, terrifying marvels to every city, ultimately plunging everyone who witnessed them into madness and nightmares. At the end of the story, Lovecraft mentioned "the beating of gigantic drums, and the thin, monotonous, blasphemous notes of flutes," as well as "blind, voiceless, mindless gargoyles," whose soul he identified as Nyarlathotep. These descriptions clearly developed into the later Azathoth and its court, which appeared in 1926. Thus, Nyarlathotep, the "soul and messenger of the Outer Gods," actually appeared before his masters.
Messenger of the Other Gods
In "The Dream-Quest of Unknown Kadath," written in 1926, Nyarlathotep appeared again as Randolph Carter's enemy. In this story, Nyarlathotep was given an even more Egyptian appearance: "a tall, slim figure with the young face of an antique pharaoh, gay with prismatic robes and crowned with a golden pshent that glowed with inherent light." This was also the original source of the later title or avatar known as the "Black Pharaoh." In the same story, when Nyarlathotep sent Carter aboard a Shantak Bird bound for the Ultimate Chaos where Azathoth dwelled, he said, "Pray to all things that you may never meet me in my thousand other forms. Farewell, Randolph Carter, and beware; for I am Nyarlathotep, the Crawling Chaos." This statement