David. I share your enthusiasm for the monster group. Its relation to physics via the Leech lattice is very intriguing. However, I am looking for a group with one dimension for every degree of freedom in physics. According to our current view of field theory there are several field variables at every point in spacetime, so I require an infinite dimensional Lie algebra with one dimension for each one. This itself is not so outlandish. In gauge theory there is an independent gauge group at each point in spacetime. These generate the gauge symmetry. However the gauge field has four of these at every point so there are not enough for my theory. If the final theory is something like string theory then it takes even more variables to describe the state space, so the symmetry has to be even larger. I don't know anyone who shares a belief in this idea but I bet that when they realise it is right they will say they knew it all along.
The monster group is the largest sporadic finite simple group. It has a huge number of elements, but it is tiny compared to the invariance group of any gauge symmetry. It is really answering a different sort of question to the one I am thinking of. However, the intricacy of its structure is remarkable. I would not be surprised if it has a part to play. In contrast, the groups that I consider most fundamental are a little boring. These are the free groups where you just multiply and invert group elements without imposing any structure apart from associativity