My cosmology's a strange one, but I'll try to summarize a little here. First off, the universe is sort of the "canvas" for all of this. The universe is divided into thirteen spheres, one inside the other, with Eldram (the world) in the center of them all. Coincidentally, Eldram is the only planet in this universe.
Eldram, itself, makes up the first sphere. The second and third are the space around Eldram, but between Eldram and the moon. The fourth contains the moon, home of Igigi, Bitch Queen of the Moon, and Nanna, The Broken King. I swiped both of those nasties from the Cthulhu Mythos.
Spheres five through twelve are just space, with your typical debris, stars, etc. Make note of the fact that Igigi and Nanna are limited to sphers four through twelve, and are kept out of spheres one through three by the Benevolence (a diety of sorts, the embodiment of good, similar to the Tao; Eldram is monotheistic, though not aware that all worship aspects of the same). Herein lies the concept of "horrors between the stars", and the like.
Sphere thirteen. This is where Cthulhu himself sleeps. He's grown decadent and slothful with the birth of the Benevolence (a cosmic blink ago), and while Igigi and Nanna actively try to retake Eldram (though are kept at bay, for the most part, by the Benevolence, barring efforts by the various demon cults), Cthulhu just dreams. Sphere thirteen lies outside of the known universe, and is simply a vast, unimaginable ocean, briny and deep.
An organization, called The Seekers, is based around the search/destruction of Cthulhu (Ahahahahahahahaha.). Once, several hundred years ago, legend is he surfaced in a whirlpool for a split second, and the sole witness deemed this the greatest evil man would ever face - forming The Seekers.
So, there are a few aspects in it, though my games aren't so much Lovecraftian - though, at times....
...TENTACLED DOOM!
Note: These sphere boundries are invisible, and intangible. Igigi, Nanna, and various other outsider nasties can't move through them, but mortals can. Thus, the lure of exploring those nether regions - should magic and technology allow. The only contact, yet, is via Chronomancy. Basically, a time traveller is placed outside of the known universe for the duration of time he wishes to travel. So, five years into the future means waiting five years outside of the known universe. Most time travellers arrive insane, as the outside of the known universe would be good old sphere thirteen...