From a Tumblr post that has been reposted a few times (in fact, my link is to the earliest repost I could find, as I think the original is long gone):

The sun is probably the closest thing we’ll ever have to a true Eldritch Abomination. Hear me out here-

• Older than recorded history; was here longer than any of us and will be here long after we leave. Has a finite beginning and end but is still incomprehensibly ancient
• Burns itself into your vision instantly and can blind you if you look for too long
• Further prolonged exposure can cause cancerous growths
• Non-humanoid shape floating through space; colossal flaming tentacles angrily lash out on occasion
• Sort of just appeared one day and is now surrounded by the corpses of its stillborn children
• People used to sacrifice other people to appease it
• Pretty sure it screams at us sometimes

There is nothing especially sad about it, all religions are equally good/bad.