I can't be doing with Lovecraft. I find him completely over the top. He doesn't frighten me because I don't believe in his mythos.
Maybe you need to have been brought up as a certain kind of Christian- traditional Catholic or hell-fire Protestant- to find Lovecraft frightening.
I was brought up as an Anglican with an elusive God who "moves in a mysterious way his wonders to perform" and so the spook stuff that ruffles my feathers is the hinty, blink-and-you'll-miss-it English ghost story, as purveyed by the likes of M.R. James and Robert Aickman.