Krampus in Call of Cthulhu
The Krampus
The Krampus is a mythological figure from Germanic folklore who is in charge of punishing misbehaving children. He carries around branches of birch, tongue hanging out, ready to strike the loutish and greedy. He is also sometimes depicted as having a burlap sack with which to spirit children away to the Black Forest. Krampus is an obvious extension of the figure of Pan or the satyr. See Arthur Machen's story The Great God Pan for more information on a Weird approach to Pan. As a figure of nature and sexuality, the Krampus could also be depicted as being in cahoots, or an extension of, Shub Niggurath.
Some possible adventure hooks
Call of Cthulhu - In 1920's rural Pennsylvania, a beast has been emerging and defiling women and stealing children. Locals say it is the Krampus, come to punish us for our godless ways. You suspect that it is something more. Easily ported to the present day, it can be an episode of the X-Files... or a Delta Green adventure.
Dreamlands - The men of Leng in the Dreamlands are also depicted as Satyrs. Is the Krampus a rogue man of Leng, dragging defenseless children off to the slave pits of Leng?
Cthulhu Invictus - The Roman Legions invaded Germany. Perhaps the lands had additional defenses besides barbarians? How you actually want to portray the Krampus is up to you. Is he a Wilbur Whateley esque goat man half bred with Yog Sothoth? Is he actually the Krampus? A leftover from the age of myth and legend somehow still kicking around? Is he a mask of Nyarlathotep (known to wear the Horned God mask, I believe) or an avatar of Shub Niggurath?
Let me know how you end up using the fun little devil guy!