A powerful and mysterious nonhuman being, associated with the play of the same name.
An Introduction
Going by the original stories, The King in Yellow (the play) is linked in some nebulous and horrible fashion with the King in Yellow, an alien god whose "scalloped tatters...must hide Yhtill forever". The King is in turn linked in some way with "Carcosa, where black stars hang in the heavens; where the shadows of men's thoughts lengthen in the afternoon, when the twin suns sink into the Lake of Hali". The King's nature, motives and modus operandi are unclear; but he occasionally appears on Earth, animating dead bodies or possessing those strange 'humans' already in thrall to him, and claiming (or reclaiming) those who have eluded him. To read the play is to be exposed to the King and to fall under his influence, going mad in the meantime.
The King doesn't strictly appear in the original stories, at least not in any way that allows us a good description. True, he appears to the narrator of The Yellow Sign briefly before he dies, but he is unable to convey quite what he sees.
The Encyclopedia Cthulhiana Says...
An avatar of Hastur, or possibly Nyarlathotep, who is the title character of (the) play. The King In Yellow usually takes the form of a gigantic human dressed in tattered yellow robes, occasionally with wings or a halo. It usually wears the Pallid Mask, which conceals the hideousness of its appearance. Worship of this being has increased dramatically in recent years, and many artists and intellectuals have fallen under the King's sway.
It's worth noting that many 'appearances' of the King are the results of his appearance as a major character in a few Call of Cthulhu scenarios. The mention of wings and a halo are presumably based around a cover illustration of one of the older versions of the book.