The Call of Cthulhu is a story written by H. P. Lovecraft. It inspired a role-playing game of the same name (often abbreviated as CoC) that is a published by Chaosium, based on the Cthulhu Mythos stories written by and others in the 1920s and 1930s.
The setting of Call of Cthulhu is our world... or mostly so. Typically the time and place is New England of the 1920s, the setting of many of Lovecraft's stories. Playing in other eras (up to the present) is possible, and the protagonists may travel of course -- sometimes to places that are not on this earth. The players take the roles of ordinary people, drawn into the realm of the mysterious: detectives, thieves, scholars, artists, war veterans, etc. Often happenings begin innocently enough, until more and more of the workings behind the scenes are revealed. As the characters learn more of the true horrors of the world and the irrelevance of humanity, their sanity inevitably withers away. (The game actually includes a mechanism for determining how damaged a character's sanity is at any given point.)
It is quite common for a player character to die in gruesome circumstances or end up in a mental institution, and players must often start with a new character. While arguably being more realistic, it also makes it hard for players to bond with their character.
For the limited time they stay healthy, characters may be developed. Call of Cthulhu does not use levels, but is completely skill-based.
In 2001, a stand-alone version of Call of Cthulhu was released by Wizards of the Coast, for the d20 system; intended to preserve the feeling of the original game, the conversion of the game rules were supposed to make the game easier to play, and also made it possible to use D&D characters in CoC as well as introduce the Cthulhu Mythos into D&D 3rd edition campaigns.