Here's the opening paragraph of "The Call of Cthulhu:"
The most merciful thing in the world, I think, is the inability of the human mind to correlate all its contents. We live on a placid island of ignorance in the midst of black seas of infinity, and it was not meant that we should voyage far. The sciences, each straining in its own direction, have hitherto harmed us little; but some day the piecing together of dissociated knowledge will open up such terrifying vistas of reality, and of our frightful position therein, that we shall either go mad from the revelation or flee from the light into the peace and safety of a new dark age.
My friend Gavin first introduced me to Lovecraft in high school; he was also into Robert E. Howard's Conan stories in a big way. I couldn't quite get past Howard's overt racism and sexism to share that latter enthusiasm, but the former was positively mind-blowing--as the above-linked fan site says, Lovecraftian horror occupies "a small but unassailable niche" in literature. (By the way, it should be every writer's goal to have his or her name turned into an adjective.)
It would be fair to say that I didn't have much use for horror or "dark fantasy" before I read Lovecraft. But his monsters wouldn't have been quite so horrible if they hadn't been filtered through the genteel perceptions of his WASP narrators. You couldn't write a Cthulhu story set in, say, a mid-20th century inner city; you might use similar monsters, but it wouldn't be the same story. On the other hand, the world of Sherlock Holmes is a nearly perfect crossover, as Neil Gaiman demonstrated with "A Study in Emerald." It's all about juxtaposition.