Nyarlathotep is perhaps the most interesting of the Lovecraftian Deities. He is arguably the only one who had a developed persona in Lovecrafts own lifetime and the one most involved in human affairs while at the same time being one of the most, perhaps the most, alien and incomprehensible of the Outer Gods Pantheon.
Nyarlathotep is one of my favourite entities of the Mythos and, due to his extra-dimensionlity, has made cameos in several RPG campaigns I ran over the years.
Since Nyarlathotep is a rather complex and alien entity, getting what it (or he, or she) is all about, is a bit of a complex task. Luckily, Mr H. Reviews has started a series of videos explaining entities of the Cthulhu Mythos and he has done a splendid job explaining Nyarlathotep to the non-cultist: