Hear, hear!
I think alot of the "there's no point in carrying a gun" comes from the emphasis placed on research. So many of Lovecraft's characters were artists, academics, antiquarians, and the like. But it seems like many of the game designers failed to note that, well, a lot of them were armed, too!
Sure, Dr. Armitage and the guys who stopped Yog Sothoth's spawn at Dunwich Mountain had some magic dust and some prepared spells, but there's plenty of shotguns and pistols and dynamite and naval ordinance in the stories as well, often used with surprising effectiveness (as Nisarg noted, Great Cthulhu himself gets a ship bowsprit to the forehead and dissolves. Sure, he's still around, but hey, problem solved for now . . . essentially).
I think it's important for players going into the game to realize that they better be prepared for a scrap, because it'll probably happen. BUT, it's also important to realize that your police special .38 is NOT going to do much when some of the bigger bad things show up. They're the Mongo of role-playing games: if you shoot them, you'll just make them mad. But cultists and deep ones? Line 'em up, break out the firearms.
I try to tell my players that guns are particularly dangerous to the players, because chances are they'll go mad and turn the weapon on themselves or their fellows.
So, basically, [Delmer from Oh Brother! Where Art Thou] I'm with you fellers [/Delmer from Oh Brother! Where Art Thou]
Dynamite, grenades, high explosives, bullets, trench knives, baseball bats, axes. It's all good! Except when it isn't.
Warrior Poet