There are two new games on Steam that have Lovecraftian themes, and they look excellent:
SOMA (available now): From the creators of Amnesia: The Dark Descent comes SOMA, a sci-fi horror game set below the waves of the Atlantic ocean. Struggle to survive a hostile world that will make you question your very existence.
Euclidean (available 9.25.15): Euclidean; a game of geometric horror; a slow descent into the dark, into madness, futility, and despair, where Things greater than you watch and wait and dream. Struggle for every second of life you have left… Even knowing you’re better off dead.