I became interested in Lovecraft a long time ago, but didn't get around to buying any books with his work until about six months ago. Only about 1/6th done with reading through all his works, as I don't read that often, though.
When I started playing Penumbra, I didn't know it was Lovecraft inspired. However, I was pretty sure already in the intro of Overture that it had been inspired by him, because of the storytelling style.
And it was fun finding a copy of Necronomicon in the library in the game! xD Oh, and the names of the protagonist(Philip) and his father(Howard). (Lovecraft's first name is Howard, his second/middle name is Phillips.) xD
I think there was more, but I can't recall it right now. Oh yeah, that "invisible" guy in Black Plague reminded me of Rats in the Walls - a story by Lovecraft I recommend.
Anyway, I also suggest getting the books. You can get all of his works in books for just about nothing, so cost shouldn't really be a problem, for anyone.