Slimu is a performing octopus at a marine park.
However, it doesn't seem that happy and healthy, being forced into doing things. The Simpsons go to see it in action. Slimu has either escaped or been allowed to roam freely around Springfield as it is seen in the Storm Drain.
The presentator at the aquarium says that Slimu could very well become America's first octopus president, as they already have a black president, so why not have an octopus president? And, to double the excitement, President Slimu could make his own ink, being an octopus. 
Later Slimu escaped and is seen in the sewer.
Behind the Laughter
Its name is an obvious joke on Sea World's Shamu the Orca Whale.