I know this isn't your "typical" question but I love chess in addition to boardgames (Arkham Horror being my favorite), and while I've seen a lot of different chess sets out there (from Star Trek to Buffy the Vampire Slayer to Lord of the Rings, Transformers, etc.) I don't think I've seen a chess set based on the mythos of Arkham Horror. One thing that most of these chess sets have in common are a very plain, ordinary and low-quality chess board on which to play the game. Knowing Fantasy Flight's penchance for quality products, I can see a VERY tight board... very dark and apocolyptical but done beautifully (maybe the town of Arkham could be the board!), and the pieces would pre-painted and gorgeous.
On the "white" side you have a combination of Investigator side that fights the Mythos... since Chess only requires 6 distinct pieces per side, you could easily sculpt some amazing pieces that fit - the "King" and "Queen" would be unique investigators that we've seen in the game, and then the Rook/Bishop/Knight pieces (2 of each) could be represented by "groups" - for example the Knights could be represented by the Agency: G-Men (3 figures on one base with guns, etc.), while the Bishop could be represented by Miskatonic U (2 figures, one with a Tome in her hand, and the other a guy with a pistol/cross), etc. The Pawns would be represented by an inexperienced Investigator. While monsters are easy to make multiples off (they're monsters!) with the pawns, you would want a "generic looking" Investigator so you aren't left wondering why the same guy is there.
One the Mythos side, well, it's pretty simple to guess who the King is, great Chulhu! The Queen would be chosen by one of the other Ancient Ones, I think Hastur would make a wicked Queen, he looks human "enough" but with the White mask and yellow coat he's pretty freaky. The Rook/Bishop/Knight's would be represented by the more powerful monsters of the Mythos... perhaps the Rooks could be Elder Young, with all those branching tenticles), while the Knights would be represented by Elder Things. The Pawns would be represented by some monster that you would typically see a lot of, but they would still look awesome.
Perhaps one way to make the set even cooler is to have each of the pawns holding a different pose. In all chess sets, the pawns all look exactly the same and are in the same pose... it would be neat to have the pawns look the same but have their guns/clawn in different poses.
Anyway, it's just a idea but I would LOVE to see a Arkham Horror chess set made by Fantasy Flight!