The Messenger, Heart and Soul of the Outer Gods. The Crawling Chaos. He is connected to, or an extension of, or co-terminous with Azathoth, and exists to do his will, if a being called mindless can be said to have a will. He has a thousand masks, which can be demonic or angelic. He is also the one being of the Mythos that seems to engage humanity, often using them as pawns in his elaborate schemes.
Certain themes seem to swirl around most of Nyarlathotep's appearances. First and foremost, he is the Black Man, which is only sometimes literal. In his presence, you are reminded that the night sky is mostly darkness with a scattering of light, just like humanity.
Second, he knows secrets that man was not meant to know. He will give them to you anyway, for a price. His avatars are often seen among the men on the cutting edge of technology, quietly giving them advice and nudging their research in certain directions. He also doles out clues to mystics, and has a strong association with witch cults through the ages.
The third is Egypt. He has associations with the Arabic region, particularly the land of the Nile. Some say that he took the throne as the Pharaoh Neprhen-Ka. Even if that's not true, ancient Egypt was the one time that his worship was most open among humans. Certain wisps of this remain, echoing over the centuries.
He is defined by none of these themes, and they are implied even when they are absent.
These are some of the masks that Nyarlathotep has worn: Ahtu, Aku-Shin Kage, Baron Samedi, Beast, Black Bull, Black Demon, Black Lion, Black Man, Black Pharaoh, Black Wind, Bloated Woman, Bloody Tongue, Crawling Mist, Dark Demon, Dweller in Darkness, Effigy of Hate, Faceless God, Floating Horror, Green Man, Halloween Man, Haunter of the Dark, High Priest Not to be Described/Thing in the Yellow Mask, Horned Man, Host, Jack O' Lantern, Kokopelli, Kruschtya Equation, Lrogg, Messenger of the Old Ones, Nyarlatophis, Pazzuzu, Pool of Shadow, Queen in Red, Set, Shugoran, Skeletal Horror, Skinless One, Small Crawler, Tezcatlipoca, Thoth, Tick Tock Man, Wailing Writher, Wicker Man.