I've done it a few times, to varying degrees of involvement and varying degrees of success. The first time, it was Cthulhu vs. Faerun, an epic-level game in which the eventual end-goal would be to stop Cthulhu from being summoned and, barring that, slay him before he reached land. There were a few memorable moments (like the Haunter in Darkness rampaging through Waterdeep), but for the most part it sucked. The inclusion of overt Mythos did break the mood a bit.
The second time was much more workable. In a Greyhawk-ish game, the players were tasked to destroy one of many cells of kuo-toa cultists, trying to create a grand ritual that would bring the Dreamlands into the Waking World permanently. The inclusion of the Dreamlands seemed to go over better than the Mythos, especially since I kept actual Lovecraft monsters to a minimum (my players now have fond memories of moonbeasts, but that was about it).
Oh, and the first game I ever DMed had a levelled-down shoggoth in a dungeon. Memorable only for how many deaths it caused and how it caused them (twisting people's heads off like bottlecaps).
Demiurge out.