The Four Horsemen of Nyarlathotep are a quartet of demonic beings that are servitors of the Messenger of the Outer Gods, Nyarlathotep, and should thus be regarded as Million Favored Ones.
The order of them:
Sysyphyx, the Scourge of Atlantis: She is a multi-eyed shape-shifting worm, but she may also appear as a cyanotic red-headed fat woman.
Gr'nuk of Volkunast: A ravenous winged demon.
The Masked Mute: She appears as a young girl with innumerable masks to display her mood, since her true face has to be of indescribable horror.
Gith, Father of Pestilence, and Champion of Damnation: He appears as a banded man with blue flames in place of the eyes.