There is no other experience in literature that rivals reading the collected works of H.P. Lovecraft. The cumulative effect--regardless of the order in which you read the stories--is to gradually open up before you a vista of complex mythology through hints and gradual revelations, much in the same way the protagonists of Lovecraft's stories discover the horrors of the universe, and the utter insignifcance of mankind. For those of us with darker senses of humor, it is fun.
One of the things that makes it fun is that in Lovecraft we have a few rarely combined elements: we have the mythmaker and moralist. The two things in and of themselves are not dissonant, but the morality that reveals itself in the myths is definitely uncommon. Typically, man looks for vindication and progressive guidance in his myths. He seeks a larger purpose that adds grandiosity to his life, and provides meaning. What we get in the myths of Lovecraft are larger purposes that we cannot fathom, and we see the veneer of meaning stripped away. We are meat-machines (to paraphrase Houllebecq), whose self determination is illusory.
The other disparate combination is that of the theologian and the artist. Again, there is nothing unusual about this combination on its face: C.S. Lewis wrote books of apologetics and sprawling fiction. G.K. Chesterton did the same (although his fictions were far less sprawling). The reason these two men are still so influential, I believe, is that they nearly got the cocktail completely right. Lovecraft did get it right; His worldview is very much reflected in his fiction, but the fact claims hinted at in his fiction don't extend past his own pessimistic, reactionary--possibly schizophrenic--worldview. This worldview may be bleak, but it is one arrived at by personal consideration, without relying on unverifiable and improbable prophecies and visions for confirmation. Lovecraft's worldview may be wrong, but it is honest. It is this key element that separates him from the theologian.
Not that believing theologians are all deliberately dishonest. In many cases they are very honest people with a very honest interest in preserving their whole identity and worldview. Because their identity and worldview are based on untruths, they have to be very creative in the way they protect them. H.P. Lovecraft--possibly because his worldview was inherently bleak--had no need to protect it with fantasy. He used fantasy to illuminate and share his disposition, but he didn't need to believe that the stories he spun were true. Whether or not the idiot god Azatoth squirmed and babbled at the center of reality, Lovecraft abandoned himself to his fears and phobias.
Chesterton & Lewis's mythologies were more optimistic than Lovecraft's, but they were created as metaphors for untrue things. Lovecraft's mythologies are pessimistic, but they are reflective of the author's disposition, not untruths. Once you leave christianity, the fictions of Lewis and Chesterton can still be charming, but they become a little too precious. Lovecraft, love him or hate him, doesn't give you much to argue with. His work is about feelings, and you don't need to be an atheist or materialist to understand what it means to be isolated, ignorant, and in-over-your-head; we're given that understanding at birth.