You know, this most likely is not true, but from what I've seen in Terraria, there seems to be two major themes in the game world - Cthulu and the moon. Obviously the Eyes and the Brain are a part of Cthulu, but I've seen interesting speculations that Skeletron is the skeleton of Cthulu, and it would be more interesting if people smarter than me could figure out how the Wall of Flesh and Eater of Worlds could factor into this.
As for the moon, well, it plays a part in many events - the Blood Moon, Solar Eclipse, Pumpkin Moon, and Frost Moon. So here's an intriguing premise: Cthulu is not actually the final boss, but the catalyst for some kind of world-ending event? Like say for example, Cthulu is some kind of monster in this universe that is either trying to protect or destroy the moon, and when pieced together or destroyed, it causes the moon to either break apart (thus sending its legions to the world) or break loose from its chains and send its legions down anyway.
Or maybe this is all nonsense and I'm just hoping for a Cthulu vs. The Moon vs. The Player event.