Actually, only mentioned once in a story penned by H. P. Lovecraft, "The Whisperer in Darkness." Hastur, sometimes referred to as the Unspeakable or Not-to-be-named, was believed to have been borrowed (in the literary sense) from Ambrose Bierce's "Haïta the Shepherd," wherein Hastur is god of shepherds.
I recall from the role playing game, Call of Cthulhu, that merely saying the word, Hastur, would get you into lots of trouble, even conjuring up the god himself.
This info was gleaned from a couple online sources, but primarily www.hplovecraft.com.
By the way, much respect to Asfodel and his Lovecraft Encyclopedia. When I followed the link for Hastur it was empty so I thought I would help out with a little nodeshell rescue.