The vast infinity of the entity means that it views things on a macro scale, it understands galactic forces like gravity, atomic action and reaction, magnetism, geochemistry, the fundamental principles for building self replicating organisms.
With each thought, the entity fractures it's concentration. Avatars spin off in fractal form, each an observer and definer of reality in its own right, each subservient to the original entity. These Avatars were not created consciously by the entity, and thus their identities were not distinct from the entity. Incomplete in their awareness, they were able to observe and moderate the aspects of reality under their purview, but not define and control it like the progenitor of their forms.
Perhaps the entity was lonely, perhaps it sought change beyond that which it was capable of.
The entity fractured its essence deliberately, shifting infintessimally small fragments of its raw primordial nature into the most promising of the self replicating organisms. Some of its avatars (unable to realise that this thought was not their own) followed the entity and shared their essence among the organisms of the physical realm.
That's the grand world-building level of cosmology...but what does it mean for a game.
Reality exists in a state of flux. It is basically defined on the most macro level by a grand creator (consider it the demiurge, or some such thing), and at a more meaningful level by the avatars of the deity (consider the largest avatars as Archangels or Titans, and their fractured essence/avatars as Angels or Gods). These are beings that regulate reality, keeping it stable and coherent.
Humans and Mortals have been imbued with the true creative essence of the demiurge and they are able to recreate reality according to their dreams and desires, but most are unaware that this is possible. The vast majority of humanity simply stabilise reality through their consensual belief in specific paradigms.
The basic structure of reality might be viewed through string theory...Where each string is a line of perception originating outside time and space in the mind of an avatar. The commonly followed paths of perception manifest in the physical world as points of immutability and lines of power (ley lines), these are places where humans feel most comfortable because these are places where it does not tax their spark of divine energy to maintain the status quo. People congregate at these areas and along these paths, thus cities are born and trade routes established. In the wilderness outside cities, things are less known...they need to be percieved to be stabilised, or those who a willing to break with the established order might use the lower stability to work changes to reality through their own desire.
Consider reality to be a spider's web...then consider the gaps of the spider's web to be filled with tiny webs of their own. Now consider two spider webs, one woven by the entity and its avatars, one woven by the mortals. Where these spider webs intersect, reality is at its strongest...where the entity's web is strongest, reality follows strict patterns and rigid forms...where the web of mortals is strongest, reality is subject to consensual reality and miracles may happen...away from all webs, or where conflicting paradigms of consensus oppose one another, the darkness and chaos thrives.
This sets the tone for Lovecraftian horror, where hidden towns of cultists bring their beliefs into being far from the eyes of the civilised world. It provides possibility for the tales of William S. Burroughs, notably things like The Naked Lunch in a truly foreign city like Interzone, where the beliefs of age old civilisations conflict in alien conspiracy and nightmare surrealism. Exploration into the unknown might awaken half conscious avatar fragments, almost like demigod aliens horrific to the mind of mortal man. It might allow stories akin to The Adjustment Bureau, where avatars struggle to maintain the status quo while humans make decisions capable of ripping the entity's fragile reality apart...one step off the observed path of the avatars shows a side of reality that was never meant to be seen.
These are tales of a war in the shadows, where reality is nothing like it seems to those unwashed masses who never choose to step outaide their comfort zone. It is a world whe the belief of a zealous lone individual can change the very nature of reality, while the accepting consensus washes over the weak like a neverending tide.
It is inspired by thoughts and hints I've been hearing about Demon: the Descent. I'd like to think that the game goes in this direction. If it doesn't, I can always write this game myself.