Someone else is sure to plug that website for HPL stories, so that's covered.
First of all, the stories that may well serve best as educational for the sake of running a CoC campaign are The Dream-quest of Unknown Kadath and The Dunwich Horror. Randolph and the Professor are just humans, but they don't just curl up and die before exposure to the Mythos. They have goals to accomplish, and God help them, they'll do it. Their exposure to the Mythos scars them, but it doesn't break them the way it does most of the protagonists of HPL's stories.
Most normal people can't deal with even a hint of the Mythos. They block exposure to it out of their minds, assuming they don't die or are driven insane.
The investigators are the exception, not the rule. They suffer from the horrors of the Mythos, and are scarred by their experiences, but they keep coming back for more. All investigators are potential cultists, and probable masochists.
CoC's all about the flavor. Investigators are not great & daring heroes; they're just ordinary people who are getting involved in things ordinary people have no business being involved in. Combat should be used relatively sparingly -- concentrated gun fire will kill people quickly, and any Mythos creature higher up the food chain than a ghoul will kill people faster. Don't always take the "combat is a way to punish PCs" approach, though; sometimes, players need to vent, and few ways of venting are better than looking Cosmic Horror in the face and blowing the #$^& out of it.
Keep in mind that one of the common beliefs about CoC is its mortality rate. If a PC doesn't die in battle, his or her brain will be saurkraut soon anyways. Try to avoid this. The horror factor is much greater if players are attached to their characters; it'll be almost meaningless if new characters are brought in every few sessions.
I hope that helps.