Here's what James Hetfield said about the song's lyrical meaning: “It was an attempt to get back to the H.P. Lovecraft mythos with Thing that Should Not Be, Call of Kthulu. This was about the hounds of Tindalos, which was another crazy mindf**k about these wolves that hunt through their nightmares and the only way you can get away from them is stay with angels. You can't even escape through sleep."
A Hound of Tindalos is a fictional creature created by Frank Belknap Long for the Cthulhu Mythos of H. P. Lovecraft. They first appeared in Long's short story "The Hounds of Tindalos" (1931). Lovecraft mentions the creatures in his short story "The Whisperer in Darkness" (1931).
"They are lean and athirst!" he shrieked... "All the evil in the universe was concentrated in their lean, hungry bodies. Or had they bodies? I saw them only for a moment, I cannot be certain."
~ Frank Belknap Long, "The Hounds of Tindalos"
Cool.