I have done some research into the world of HP Lovecraft and have discovered weaknesses that can temporarily disable or stun them:
Cthulhu: Let's start with big green himself. What you need for him is a chef, and an electrical impulse capable of turning the entire ocean into a flash fryer. Just don't stand in said ocean along with Cthulhu. Bingo! Calamari for all!
(side effects may include: killing everything in the ocean, bad tasting calamari)
Azathoth: Well, face it... If you've made it this far I doubt you'll have any sanity left. Bring a squeaky toy, and keep your eyes shut. You haven't traped across the void just to crack now. Then, when you hear the snoring of a blasphemous creature, throw the squeaky toy in it's direction. With any luck, it will keep Azathoth amused for the rest of eternity. (Side effects may include: Every living creature being turned into a squeaky toy, via Azathoth's mindless wants, and/ or being given the Crawling Chaos on a temporary leash (DO NOT TRY STUNNING N. IN THIS CASE! Results may not be amusing for you.) )
Yog-Sothoth: Hello, Yoggie! Give this one a bumper book of crosswords to distract it. Be sure to bring along a new crossword book every year or so, to ensure Yog doesn't get bored. (Side effects may include: Hearing an odd noise; it's just Yog scratching his "head" in thought)
Nyarlathotep: Nyarly! *Squee* You know what to do with the Haunter of the Dark. But for Nyarly's human forms, I suggest this: walk right up to him and kiss him. No mucking about, just snog the daylights out of him. He won't be expecting this avenue of attack and so will be stunned long enough for your teammates to escape. Try and keep it up for as long as you can stand being near him. (Side effects may include: Being stalked, him becoming agressive and dominant, -Azathoth forbid- the bastard likes having the back of his throat licked... I don't know what he'll do. Have a nice afterlife!)
Shub: I suggest you frighten her children and then get the F**k out of there! She'll have a hard time calming all of them down.
Have fun, and stay sane!
Be well and live free!