Carnacki, The Ghost Finder
William Hope Hodgson$4.99 Lowest Price Guarantee (click for details)
I don't find Lovecraft's vision of the otherworldly visitors at all at play here. These are strange, dangerous, and ghostly apparitions, but their harm is almost always localized. Hodgson summons great Lovecraftian fear and awe in his excellent novel The House on the Borderland.
I, like Pyrophage, enjoy these tales, though. Hodgson drones on a little too long, but the Carnacki is a likably fallible hero, unlike his relative contemporary Sherlock Holmes.
A great read for fans of early horror, detective fiction, and early speculative fiction.