
In his guild at O'ntario, fat Dyack waits eating

Gaiman's
A Study in Emerald is a fantastic Lovecraft/Sherlock Holmes alternate-history mashup.
BOOM! Studio's Fall of Cthulhu is awesome (Eric P can talk this one up).
Gene Wolfe's next book,
An Evil Guest, is LOVECRAFT IN SPACE. This is the best new genre ever.

Wolfe

If you're willing to dive into text adventures, Infocom's
The Lurking Horror is a great Cthulhu-at-MIT story, while
Anchorhead is a post-Infocom top-5 IF classic.
What else have you read that's Lovecraftian fanfic and PROUD OF IT