In the Dresden Files and its associated works, there is are many entities both large and small, powerful and weak, immortal and semi-mortal (perhaps long lived, but not truly immortal such as the Queens or Mantle holders, elves and gruffs and trolls etc fit into this category).
But there is scant information on how any of them came to be. How they become more than what they are. How they become strong enough to exist at all.
We know that belief and knowledge of the entity plays a significant part. Enough belief in something can make it godlike and conversely not enough belief can cause it to be locked out of reality.
But I find that interesting, because if they are merely locked out, they are not "dead". So what are they? Where are they? The novel the oblivion war features in (Back Up) mentions that the objective of the venators is to cause mortals to forget the magical being, and that the objective of the being is for enough mortals to believe in it so it may manifest and wield power. Not all, perhaps not even most, are gods. Yet they operate in very much the same way. A WOJ discusses how that if mortals all forgot about a previous Lucifer, would we even know? But he also says, somethings always will have a foot in the door as mortals will always wonder "who am I?" and "why am I here?"
On reading the Paranet Papers and the Dresden Files RPG, I noticed a passage that discussed how mortals create an idea and an entity rushes to fill that space. This is interesting on several counts. Firstly, the entity already exists in a way, but is shaped by the mortal idea. This then would provide the limits and the functions of this being. Secondly, it shows the tremendous power mortals have to shape reality. Finally, it shows an answer to the WOJ about how the beings themselves don't really change, just our understanding of them.
This also begs the question of how the Old Ones and the Outsiders fit in...they don't totally play by the rules. My feeling is they are not trying to gain worship or power, they have all they need in a way (chaos/the outside doesn't have limits?) but they do hate reality as it forces limitations upon them. And so they wish to torture and destroy it.