Took some time to lay out all of my Mythos/Chaos Daemons stuff to see what I have. After a quick read of the Chaos Daemons Codex, I'm actually pretty keen to paint the lot up as an army for 40K as well as all the other games these minis will get used for. (Super System, Kaiju, Empire of the Dead, Judge Dredd, SOTR, Strange Aeons)

The idea is to replace the Gods of Chaos with Lovecraftian Outer and Elder Gods and their spawn. With some quick research, I came up with these alternatives:
Khorne becomes Cthulhu.
Tzeentch becomes Nyarlathotep.
Nurgle becomes Yog-Sothoth.
Slaanesh becomes Yig.
I'm mostly painting for Judge Dredd and commission at the moment, but picking up a daemon makes a nice break now and then, so progress is surprisingly quick. Once I get a unit's worth of something finished, I'll put up another picture.
What I've got so far are Ghouls (Plague Bearers), Cultists (Bloodletters), gribbly monsters (horrors), Shoggoths (beasts of Nurgle), heralds of each god, a Keeper of Secrets, some Daemon Princes and big monsters I'm considering using as fiends.