In the strictly "this world" writings of Lovecraft there are few true heroes. However if one takes into account his dream cycle I think you find that Lovecraft was not a total pessimist. In his dream tales, his heroes are a bit more heroic. The Dreamquest of Unknown Kadath is the perfect example of this. Randolph Carter (who does not die) experiences horrors on this plane (i.e. the Statement of Randolph Carter, the Unnameable) but he also becomes a great dreamer, exploring and conquering. He speaks with ghouls and flies on the back of Nightgaunts. He takes on the gods (namely Nyarthealop) and escapes (albeit barely) with his life and his sanity. Eventually he finds a portal to join with his youthful self and then enters permanantly into the dream realm in a later story.
Taken as a whole, Lovecrafts cycle seems to say that this world is too horrifying for mankind to deal with but the land of dreams contains our future.
edit- I would also suggest that the Dunwich Horror contains heroics of a sort.