"That is not dead which can eternal lie. And with strange aeons even death may die." - The Call of Cthulhu
Call of Cthulhu is a horror fiction role-playing game based on the story of the same name written by H.P. Lovecraft and the so-called Cthulhu Mythos the story inspired. The game, often abbreviated as CoC, is published by Chaosium.
In a nutshell, think of classical gothic horror tales. Then imagine that the source of all the horror and mystery is of an alien source.
The setting of Call of Cthulhu is a darker version of our world, based on H.P. Lovecraft's observation that, "The oldest and strongest emotion of mankind is fear, and the strongest kind of fear is fear of the unknown." There are three primary eras of the original (non d20) game: the 1920s, the setting of many of Lovecraft's stories; the 1890s Gaslight supplements, a blend of occult and Holmesian mystery and mostly set in England; and modern conspiracy (Cthulhu Now). Recent additions include 1000 AD (Cthulhu: Dark Ages), 23rd Century (Cthulhu Rising) and Roman times (Cthulhu Invictus). The protagonists may also travel to places that are not of this earth, represented in the Dreamlands.
That is, set here and now (give or take a few years). The best source material for Modern Day Cthulhu comes under the material presented for Delta Green - which combines the original game with the world of international espionage. After all, if these things have been going on since the dawn of time, you'd figure that orgained world governments might have a small inkling of what was going on!