I was never a big comic book reader when I was a kid, mostly because there just wasn't any place to buy comic books.  But I found this article interesting and the conclusion kind of fascinating.

Elf with a Gun was created by Steve Gerber, who is also known for creating Howard the Duck and other oddball comics.

The armed elf would simply show up in various of his comic books, kill someone, and that was it.  No explanation, nothing ever brought to a conclusion.  These violent elvish interludes were not even a part of the stories in which they appeared.

But later in interviews, Gerber explained it.

[Gerber revealed] that the Elf was nothing more than a backhanded metaphor for the chaotic and inexplicable nature of everyday existence, the "beast in the jungle" that you can spend a lifetime planning for but which still comes as a surprise or maybe never comes at all.

Via meine kleine fabrik.  More here.