A Shadow Over Innsmouth, The Dunwich Horror, Mountains of Madness, they're all great.
Anyone ever read Lovecrafts sci-fi, Beyond the Walls of Eryx? It's fantastic, and makes me wish he actually got into writing sci-fi more before his end.
Bonus - The dude's cat in Rats in the Walls is named 'n***erman.'
That's worth reading the story right there.
But it gets creepy because n***erman knows whats up behind those walls.. in his eerie cat way.