The cartoon metal heads, who sport latex monster masks and spark-spewing instruments, fought off a strong challenge from Russian heartthrob Dima Bilan to take the 51st annual music prize.
Bosnia-Herzegovina's Hari Mata Hari was third in the contest, which was decided by phone and text message votes from viewers in 38 European countries.
The phantasmagoric Finns, who scandalised some compatriots when their song "Hard Rock Hallelujah" was chosen to represent the Nordic nation, was the surprise hit of the competition.
Combining crunchy guitars, a catchy chorus and mock-demonic imagery, Lordi is reminiscent of US '70s stars KISS -- an acknowledged inspiration of lead singer Mr. Lordi.
Band members never appear without their elaborate masks and makeup, and do not reveal their true names.
Lordi beat an unusually eclectic 24-nation field, which ranged from the bubble-gum pop of Danish teenager Sidsel Ben Semmane and Malta's Fabrizio Faniello to the balladry of Ireland's Brian Kennedy and the country-pop of Germany's Texas Lightning.
Pop music glory
Since 1956, Eurovision has pitted European nations against one another in pursuit of pop music glory.
Russian heartthrob Dima Bilan was
a strong contender in Athens
Previous winners include '60s chanteuse Lulu, Sweden's ABBA -- victors in 1974 with "Waterloo" -- and Canada's Celine Dion, who won for Switzerland in 1988.
Some 13,000 fans from across the continent packed Athens's Olympic arena for the three-hour contest, broadcast live in 38 countries to an audience estimated at 100 million.
Eurovision victory is no guarantee of fame. Dion and ABBA went on to glory -- as did Olivia Newton John, who lost to ABBA while competing for Britain in 1974. Other winners have sunk without trace, victims of the "curse of Eurovision."
Athens is hosting the event because Greece won last year in Kiev, Ukraine.