Tomb-Herd

The Tomb-Herd are gelatinous blobs from another dimension that possess special statues upon entering ours so that they can feed. If a statue is unavailable, they can possess a human for the same purpose.

Space Eaters

The Space Eaters' description is a little vague, but I believe they are just a single column of blinding light that can send out spiralling tendrils into the brain of its victim.

Denizens of S’glhuo

The Denizens of S’glhuo are beings composed of sound, though they appear thin and tall, with huge pupilless eyes, and a skin covered with tiny, rippling blue scales. Their fingers are boneless.

Fire Vampires

Fire Vampires are composed of thousands of tiny points of light, all of which are living entities of flame, and as such, burn anything they touch. From a distance, the individual points are indiscernible, so it appears to be an intelligent plasma.

Guardians of Crystallizers of Dreams

The Guardians of Crystallizers of Dreams—hereafter simply called Guardians—are dark, ghostly, floating, jellyfish-like creatures with glowing, yellow, cat-like eyes from a dimension between reality and sleep. As their name suggests, they guard the Crystallizers of Dreams from being used, which are yellow egg-shaped objects about a foot in diameter that have the ability to transport the consciousness of a sleeping person to far-off locations or dimensions.

Colours out of Space

The Colours out of Space are basically just that—a colour. Most representations I've seen convey this as a form of vapour, though it technically isn't. To quote the story, a Colour "sucks the life out".

Cold Ones

Cold Ones—also known as Ylidheem—are semi-corporeal entities that appear as ghostly, wailing, humanoid silhouettes of whirling snow and vapours. They are only encountered in areas of bitter cold, and can appear or disappear into snowy skies, or drifts of snow and ice, like ghosts. Despite this, Cold Ones are only partially immaterial, so cannot pass through solid matter, though they can seep through the smallest of openings.

Adumbrali

The Adumbrali are a race of two-dimensional, shadow-like entities that dwell in an abyssal dimension. They are only capable of moving in the horizontal plane and cannot move vertically, even in their own dimension, though some have the ability to teleport and reorient themselves to a different plane.