Why has the gaming world taken to the Dark One?
Some of his appeal is obvious. He's one of the few Old Ones with anything like an identifiable personality and a stated purpose, whose mission brings him directly into contact with humanity. Moreover he's a free agent, unlike Cthulhu, who pretty much has to stay in his Pacific Ocean tomb. Being tied to one location means that if the players are ever to encounter him they have to go on a world-spanning quest, whereas they can find the Horned Man almost anywhere. That helps the Keeper, because it means Nyarlathotep can be used in any setting they care to imagine. Abandoned Victorian school? No problem. Polar research station? No problem. Forgotten amusement parks, museums, warships, subway stations - wherever the Keeper chooses, Nyarlathotep can fit right in, with minimal or no modification required. Very few other Old Ones can inhabit that many different environments, or fulfill that many story functions.
However I suspect there is an underlying fascination here, that has its roots in Greek mythology. Nyarlathotep, to my mind, owes a debt to Dionysus, and in retelling his story we find ourselves repeating an ancient legend.
Euripdes' Bacchae tells the best known version of the Dionysiac legend. In the play, the return of the God to Thebes (the city that ought to honor him above all others as he is related to the Kings of Thebes by birth) is opposed by Pentheus, the current King and presumably a cousin to the God. Dionysius whips up a frenzy in the women of Thebes, who go to venerate him on the mountaintop in orgy and delight. Pentheus, in disguise, follows them determined to find out more about the sacred Mysteries, though it's heavily implied he also wants to see naked debauched women - including, incidentally, his own mother. The tale could only end badly. Pentheus is torn apart by the women, and his mother, intoxicated an confused, presents the dead King's head to his grandfather as a hunting trophy. Practically everyone in the play suffers to some extent, whether by death (Pentheus), exile, (his mother), being transformed into snakes (his grandfather and grandmother) or in some other way.
Compare this to Nyarlathotep. In the short (very short) story, the unnamed narrator hears tell of a dark and mysterious stranger who has set the world on its head with his dark and terrible mysteries. He makes up his mind to see for himself, and goes with a friend to a meeting place where Nyarlathotep delivers his revelations to the throng. The narrator is the only one to speak out: "And when I, who was colder and more scientific than the rest, mumbled a trembling protest about imposture and static electricity, Nyarlathotep drove us all out, down the dizzy stairs into the damp, hot, deserted midnight streets. I screamed aloud that I was not afraid; that I never could be afraid; and others screamed with me for solace." Their punishment is swift and brutal. The narrator and his companions are driven out and destroyed, and the city with them. "Once we looked at the pavement and found the blocks loose and displaced by grass, with scarce a line of rusted metal to show where the tramways had run. And again we saw a tram-car, lone, windowless, dilapidated, and almost on its side." Soon the narrator is the only one of them left, and even he is doomed to die, or worse, at the command of "the gigantic, tenebrous ultimate gods the blind, voiceless, mindless gargoyles whose soul is Nyarlathotep."
The influence of Euripides is plain. The God figure, Dionysius or Nyarlathotep, comes from outside, the stranger with a grim reputation. He has revelations to spare, for those willing to listen, but for Pentheus and his ilk, only death and despair. And in the end, for the faithful and the faithless alike, there is only a ruined city and desolation to come.
Yet what does this mean in RPG terms?
In game, the protagonists are effectively the sons and daughters of Pentheus. Like the King of Thebes and the narrator of Lovecraft's short piece they too seek out the inner workings of the mystery. They want to know, in Masks, whether there really is a global organization acting out the will of an ancient God. They want to find out who's partying in the Green Bar at Club Apocalypse, or why a cult of skinless men tried to kill their friend Professor Smith. They want to know what, if any, truth there is to the rumour of a new Hitler ensconced somewhere in South America. They want to penetrate to the very heart of the mystery and understand it, and as has been pointed out by Sandy Petersen, every mystery is like the layers of an onion: peel away one skin, and another is revealed beneath it. So the protagonists will keep digging until they get as far as they're going to go, and in Cthulhu that usually means insanity, death, or both - the fate of Pentheus and the unnamed narrator, visited on your players' characters. All unknowing, they've been characters in a drama that has been going on since time immemorial, with Nyarlathotep as their director. For the minute they decided to go in disguise up to the mountaintop, to attend that awful lecture, to go find out what was really going on - at that point they were doomed, beyond salvation, and that is the story of Nyarlathotep.
The Crawling Chaos represents the reward all seekers into the mysteries ultimately receive: ignominious and pitiless destruction, not just of them, but of all their future hopes. Snakes and forgotten tram cars are their only monuments. Or, in RPG terms, a crumpled piece of paper with hasty erasure marks and repeated notches along the dwindling Sanity bar. Moreover none of them can claim innocence; ultimately this was what they wanted. Else why start on the journey in the first place?