The Yithians are my favorite time travelling psychic jerkasses.
1. Yithians are great background noise, like the constant threat of nuclear apocalypse. Although you can get used to them, they are always unsettling. You could be snatched by the bastards at any moment!
2. The Yithians work well for missing persons cases. Missing persons, kidnappings, or any other kind of investigatory scenario can give players a feel for a city setting, as they blunder about like Walter and The Dude.
3. Where there are Yithians, there are Mi-Go and Elder Things. That's a great inter-species gang. If the Yithians don't steal your mind, the Mi-Go will cut out your brain and stick it in a jar. If you're lucky an Elderthing will adopt you as a pet, like the witch from "The Dreams in the Witchouse."
4. Its like elves and dwarves. Common starting point before you turn up the weird.