Though it has absolutely nothing (formally) connecting it to the Chthulu mythos, the movie that I've seen which best captures the feeling of one is the somewhat unfortunately titled "She-Creature". I say unfortunate, because it is really a terrific film and hands down the best attempt at capturing the feeling of a Lovecraft story, but the movie title implies Rodger Corman.
One story I've heard, no idea if it's true or not. But according to it, when Ron Perlman was in full outfit for the movie he got a lot of women hitting on him, who suddenly lost interest later when he was out of costume. Draw what conclusions you will.