I personally like Lovecraft because his version of horror is the horror of materialism (the philosophical system, not the synonym with consumerism). If some form of materialism is correct, then in some sense the horror of Lovecraft is true. Humanity is so unspecial in the eyes of the universe that it doesn't even care enough to care about us one way or the other.
While I don't find Lovecraft particularly horrifying (not being a materialiast myself), I enjoy his prose and style.
I'm with those who find Lovecraft to be, on the whole, heavy going as an author. I also think he's dated, precisely
because he seems to think that philosophical materialism has horror-laden implications. For those who enjoy slighltly overblown prose, Bertrand Russell set out to reject this contention in his "A Free Man's Worship", written in 1902 and published in 1903. Weber makes a similar argument - although more measured and less optimistic - in "Science as a Vocation", delivered as a lecture in 1918 and published in 1919.
The Wikipedia entry on Lovecraft describes his work as 'challenging the values of the Enlightenment". But mere denial - or to put it another way, mere assertion that the universe, in its vastness, is unknowable, and that I am an irrelevant speck in the overall scheme of things - isn't particularly dread-inducing, any more than mere assertion that Jesus will save me is comforting. Just as religious faith tends to draw upon some sort of religious experience, so the horror of materialism depends upon some sort of experience.
This sort of experience can, in my view, be produced by writing. Although I come from a Catholic family I am not a practising Catholic. Nevertheless, I can feel very strongly the force of Graham Greene's description of a character's encounter with the person of Christ in his novel "The End of the Affair" (in my view a triumph of Catholic Existentialism). It evokes something in the neighbourhood of a religious experience. It seems to me that Lovecraft's work is intended, by him, to produce an experience of materialist dread - but the weaknesses of his prose style prevent it from doing so. (I also think that the personification of supposedly indifferent universal forces works against Lovecraft's point also - central to the materialist contention is that any such personification of mechanical phenomena is a category error.)
Due to the need to read a lot of non-fiction for my job (plus a lot of RPG texts for my hobby!) I don't get time to read a lot of fiction. But one book I've read fairly recently that evoked something like a feeling of dread - that there is a larger universe out there which is indifferent to the protagonist (and hence, by the operation of sympathy, to me) - is Haruki Murakami's "The Wind-Up Bird Chronicle". It's not particularly a horror story, and it's not cosmic horror at all. But it more successfully evoked a "Lovecraftian" emotion in me than Lovecraft ever has.
) 
