So I saw that Slenderman is being included in The Key and the Gate Expansion.  I admit I'm not an expert of either the Mythos or Slenderman other than my exposure with the two games and my compendium of Lovecraft stories.  Can anyone tell me how the two are related? 

I'd never even heard of this 'Slendreman' before today. I don't think there's any previous connection to the Mythos. It's probably similar to the Chupacabra card, i.e. it's just being included because it's a popular mythical creature (although a quite modern one).

Chupacabra was exactly the reference I was about to pull out too :)

Basically it's just a well known (to the young folk) horror/mythical reference.  As far as I can tell, he's kind of like the new bogeyman - a mysterious figure that shows up and lures people into the woods never to be seen again and that sort of thing.

Oh ok, that makes sense.  

I wonder what other urban legends they'll add to the game?

My guess would be that we won't see a more modern reference like this being added too often, but who knows?

Sounds good, so long as they avoid sparkly vampires. 

Where did you see a Slenderman card?

Here, it's part of the upcoming Yog expansion (it's a Shub card though):

http://www.fantasyflightgames.com/edge_npm.asp?epmi=s&eidm=174