There's a lot of classic/popular stuff I haven't read (yet), but:

• Annihilation by Jeff VanderMeer - Quite different from the movie in a lot of ways; reads a little like a fever dream, which I kind of love. If you read and like this, be aware that the rest of the series (at least, to the middle of book 3, where I paused) is quite different: going from book 1 to book 2, particularly, is like whiplash (new MC; dry, bureaucratic setting/plot; almost no horror except for like 10 pages near the end).
• There Is No Antimemetics Division by qntm - I read/reviewed this last year for bingo; the self-published edition I read (available currently) is SCP-related. However, it's been picked up by Ballantine, which is publishing a revised, non-SCP-related version in November that might be worth waiting for, idk.
• The Willows by Algernon Blackwood - Classic, available on Project Gutenberg. If you see recommendations for The Hollow Places by T. Kingfisher (which I wasn't a fan of, but that's me), this is the novella it was inspired by.
• The Immaculate Void by Brian Hodge - Very good, but has kind of a grimy feel that wasn't really my jam.
• Agents of Dreamland by Caitlín R. Kiernan - Caveat with this one is the prose takes effort to get through. Good, but the writing put me off trying to tackle the sequels for a while.
• The Ballad of Black Tom by Victor LaValle - Retelling of Lovecraft's "The Horror at Red Hook", but from a Black perspective. More impactful if you read the original first (I didn't, but I probably should).

Cross-genre/other influences

• If you don't mind graphic novels, some of Hellboy and a lot of its sister series, B.P.R.D., deals with cosmic/Lovecraftian stuff, mixed in with classic horror, folklore, myth, and pulp. It's fantastic.
• Iron Truth by S.A. Tholin - Space opera with military and cosmic horror aspects. The sequels are also enjoyable, although I like each new book slightly less (there's also less horror in them).
• Carter & Lovecraft by Jonathan L. Howard - Urban fantasy crossed with sort of standard Lovecraftian stuff, rather than a super original take (although that's kind of the point). Enjoyed it, but haven't read the sequel.
• The Gone World by Tom Sweterlitsch - Mostly sci-fi/mystery, with cosmic undercurrents. Good for the most part, but sets a false expectation at the beginning that it's going to be super horror-y, when it's more of a time travel thriller. (Don't expect the time travel to be super logical, btw.)