Here's some quick history of the laughing god from the 2nd Ed. Codex. pg 13 column one, paragraph 5.
The story goes that once the Chaos God Slaanesh had destroyed the other Eldar gods the fought with Kaela Mensha Khaine, the Bloody-handed War God of the Eldar. But the Laughing God hid behind Kaela Mensha Khaine, and be means of trickery and adriotness managed to avoid the gaze of Slaanesh. When the two struggling gods retired exhausted, the Bloody-handed God inot the material universe in his Avatar forms, and Slannesh into the orbit of the Chaos Gods, the Great Harlequin God escaped into the Webway and hid amongst its myriad tunnels. He lives there still, laughing at the gods of Chaos, emerging secretly to play his deadly tricks upon them or make his sercret plans. He cannot be caught, for he is too fast and subtle, and he knows all the secrets of the webway.