For me, it is I Have No Mouth and I Must Scream, by Harlan Ellison. This short story was published for the first time in 1967 in IF: Worlds of Science Fiction, and it won a Hugo Award in 1968.
I’m not claiming it’s Lovecraftian — but it is terrifying. If you haven’t read it, I’d be doing you a disservice to even post a synopsis of the plot. You should read it without knowing anything about it before-hand.
What’s the scariest story you’ve ever read, Lovecraftian, or otherwise? Comment below.