"By the way—Cthulhu isn't a she but a he. He'd feel deeply enraged if anyone regarded him as sissified!"
—H. P. Lovecraft to Willis Conover, Jr. 29 Aug 1936
Letters to Robert Bloch & Others 389
Lovecraft at Last 77

Something I've been meaning to address: Gendering Cthulhu.
Lovecraft in this letter is being jocular, as he typically is when dealing with his artificial mythology in his correspondence. In the story "The Call of Cthulhu" the Great Cthulhu is often referred to as "he/him/himself," so the joke is not inconsistent with the story, and some
readers might even take it as confirmation. Certainly, later authors like Lin Carter and Brian Lumley almost universally depict Cthulhu as male, and even expand on Cthulhu's family as part of a Greco-Roman style pantheon.

Which is fine, if that's how you want to interpret it.
Personally, when it comes to inexplicable alien life forms from distant stars, the strict gender binaries of Earth are probably not going to cut it. I read "he/him" in "The Call of Cthulhu" as the older English form of "he/him" as a default for a being whose gender is unknown.
Which opens up more interesting possibilities. A Cthulhu of an unknown or ambiguous (even fluid) gender, or one whose biology does not conform to gender as earth-life knows it, allows for more possibilities. In "At the Mountains of Madness" we are introduced to the Cthulhu-spawn.
We aren't told how they are spawned; whether Cthulhu mated or simply produced them asexually - the Elder Things are explicitly asexual in their reproduction in this fashion - and so the mere act of reproduction doesn't necessarily either imply gender or its consequences.
I'm not aware of any story that deliberately pursued the idea of a female Cthulhu - there's been stories discussing Cthulhu's progeny, mate (Idh-yaa in Lin Carter's terminology), and even mother (that in a jocular story by Kelda Crich).
Artwork of female Cthulhoid entities, even pornographic versions, definitely exists.

Yet I think the instinctive gendering of Cthulhu as male has put a damper on the production of stories that play with the idea of Cthulhu's gender. There's no reason why there shouldn't be a
story about a female Cthulhu - or a self-pollinating Cthulhu, or one that reproduces asexually via spores, implants spawn into incubator hosts like xenomorphs, or belongs to a species with multiple genders that requires a weirder polyamorous setup. The field is ripe own.
I think a large part of it goes right back to Lovecraft's quote, though - "sissified." There's a very terrestrial, 20th-century crisis of masculinity pearl-clutching aspect to the phrase. Lovecraft reveals his own insecurity at not being seen as masculine or heterosexual enough.
And by extension, generations of fans have made Cthulhu by default not only male but heterosexual - combining assumptions of gender and sexuality - just because that is the "norm" and they didn't want to make Cthulhu gay.

Which, spoiler alert, there's lots of porn of too.
It is kind of weird how these very petty terrestrial concerns and understandings of gender and sexuality shape our vision of an entity which is explicitly designed not to conform to those same preconceptions - but Cthulhu is still a product of the 20th century.
So it isn't just a failure of imagination on the part of Lovecraft, or Lin Carter, or any individual writer who ever used Cthulhu and gendered them as male and made them heterosexual - hell, Neil Gaiman did that! - it's the social inertia and norms that have us thinking that way.
Or, as the case may be, not challenging ourselves to think differently. There's still room for many different interpretations of Cthulhu; a male, heterosexual family-alien squid monster is certainly ONE of them...it would be nice to see what creative people could do with others.
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