I figure a lot of you already know, but if you didn't, Eternal Darkness is a videogame produced for the Nintendo Gamecube several years ago that is a very Lovecraftian adventure. I just re-started playing it recently (on the Wii) because it was so much fun.
The game itself is played out over multiple chapters, which in the game are chapters in a book, using multiple characters. The chapters take place in various time periods over hundreds of years. The storyline is that an unspeakable, sanity-blasting, ancient evil god has turned it's destructive gaze toward Earth. It has a lot of the usual combat, and find-the-key type quests, but when your character's sanity level starts to dip the game gets really creative. Many of the monsters have a very Cthulhu-ish vibe to them. One in particular is a near copy of Yog-Sothoth core set card.
The game may not be too easy to find, but I've seen it fairly inexpensively on ebay. I bought my copy a few years ago for $10.