So I've decided to stick with each investigator until they die or go insane. Roland Banks was my first choice, and he saw some bad stuff and didn't do so well in Night of the Zealot: https://community.fantasyflightgames.com/topic/238549-night-of-the-zealot-completed-spoilers/

Now I've completed The Dunwich Legacy with Roland, and unfortunately he couldn't handle it.

Things got real hairy when abominations rampaged through La Bella Luna. When I was pulled from the remains of the Club, I found myself at the Miskatonic University. It was there that my time, as well as the students, ran out.