Read "The Dunwich Horror" and "The Call of Cthulhu". Probably slipped a couple HPL shorts in there, too. Call is a biggie. It kind of sets out the whole background for what is called "The Cthulhu Mythos" - powerful beings descending from the stars to influence humanity, cults that worship them, heroic scholarly types unravelling the mystery. A man studies the papers of his late uncle and learns about a mysterious cult and events seemingly related to Cthulhu, their object of worship, centred on a particular date. Finally, he learns of a horrific encounter sailors had with that very being on that very date. Again, a bit of an X-Files investigative horror vibe going on. I think a TV show based on the Mythos but updated to today would end up very like the X-Files.
Just finishing Lovecraft's "The Dream-quest of Unknown Kadath", a short novel about a dreamer exploring the weird world of Earth's dreamlands in search of the Great Ones (the gods of the dreamlands) and a mysterious city that he glimpsed once in a dream. A very different piece of work from Lovecraft's s-f/horror set in the waking world. Very stream of consciousness (in spite of the length, there are no chapters or breaks of any kind) and pulls in references to a slew of other Lovecraft characters and works. Randolph Carter, the narrator, is himself a Lovecraft staple, appearing in several other stories. While there are some epic battles, this is really not your typical epic fantasy. The quest is very personal, not about saving the world or anything. And the whole atmosphere is a bit strange, with things like cats battling evil, faceless toad-things and weird, vaguely demon-like creatures known as nightgaunts who turn out to be allies. A recommended read for those looking for fantasy that is very different from what we expect from that genre today or those who like the weirdness dial turned up to 11. I know I first read it in a period when fantasy was starting to trend to Tolkien clones and vaguely D&D-eque stuff and it blew me away. Still ranks as a personal favorite, even though I acknowledge its flaws (a bit too long, some clunky writing, Lovecraft's racism and classism rearing their ugly heads from time to time).