Warning: There are spoilers for the Chilling Adventures of Sabrina finale ahead.
The Eldritch terrors are more entities than physical villains, which makes them that much scarier. "There's something about an unknown villain that's particularly intimidating," Lachlan Watson (Theo) told Refinery29 at the CAOS junket. "I think that's something people can relate to right now in 2020. It's not really knowing what something is or having the physical representation." Jaz Sinclair (Roz) added, "Or how long it’s going to go on. Or what it is."
The characters on CAOS may not have known what the terrors were, but we the viewers do. There are eight terrors in all, one for every episode of the last season, and they all have roots in legends and mythology. Most of the inspiration for the creatures come from the works of horror writer H.P. Lovecraft (who, we should note, was an influential but notoriously racist author), whose identity Blackwood sort takes on as he preaches at his new church. He calls himself the Reverend Lovecraft and considers himself the harbinger of these Eldritch terrors.