The atmosphere of Lovecraft's stories always managed to scare me as much as the monsters themselves. When I was looking for information on the areas of New England he was writing about I found this site Cthulhu Files http://cthulhufiles.com/ the most information on the stories, the characters and the areas in the stories.
There's a site that shows you a map of a walking tour of College Hill with all pertinent Lovecraftian places of interest. http://www.hplovecraft.com/creation/sites/walktour.asp
Donovan Loucks travelogue is very interesting.
Joseph Morales travelogue is my fave.
When I started this series of figures, I found this site to be a very valuable source of information. In fact if you search through the different articles, you could even plan a nice tour of Innsmouth or many of the other towns mentioned in the stories.
I definitely need to design a new monster....I'm thinking Shub-Niggurath or a Shantak Bird and maybe a vacation back East.