Biblical demons aren't often done particularly well, either, which is part of the problem. And yeah, you're right that the bottom of the bible-demon barrel has been scraped and rescraped until it resembles a finely polished mirror, but that doesn't mean that they started out as anything simplistic or uncomplicated.
Lovecraft has good monsters, I agree. I don't know that the whole "interdimensional horror" thing can or should really be expressed in DF terms, though.
"Cthulhu McElderGod 'TheMightyWorldSquicker' has risen from the dead. Cthulhu McElderGod 'TheMightyWorldSquicker' has gazed balefully at your Fortress, InnsMountain. Your Fortress, InnsMountain, has melted! Urist McUrist stops task-Urist McUrist's brain has melted! All tasks are stopped-Everyone has fallen into a Strange Mood! Everyone is laughing maniacally. Everyone is singing strange songs. Everyone is biting Everyone frantically. Everyone is fucking Everyone frantically. Everyone's right eye bursts into flame! Everyone's left eye bursts into flame! Everyone melts into Everyone. The World ShiningRoundTurquoise 'TheLonelyPlanet' stops turning. The World ShiningRoundTurquoise 'TheLonelyPlanet' has folded into itself. The World ShiningRoundTurquoise 'TheLonelyPlanet' has flown into space. The World ShiningRoundTurquoise 'TheLonelyPlanet' has been swallowed by Cthulhu McElderGod, 'TheMightyWorldSquicker'. Dwarf Fortress 'TheFunLosing' has stopped. Dwarf Fortress 'TheFunLosing' is melting! Your Computer, Typey McFunPorn has stopped all tasks. Your Computer, Typey McFunPorn has fallen into a Strange Mood! Your Computer, Typey McFunPorn is laughing maniacally. Your Computer, Typey McFunPorn is growing tentacles! Your Computer, Typey McFunPorn is biting you frantically. Your Computer, Typey McFunPorn has grown an erection! Your Computer, Typey McFunPorn is fucking you in indescribeably awful ways! All tasks are stopped-User has burst into flame!"