I came across this page while I was grabbing a few to listen to. I absolutely love the audio drama's where they use music and sound effects and everything. I've found more audio drama's to have a creepier atmosphere than most movies. Obviously I have no clue which ones are the good ones. But if you pick a story you were always interested in, just click and see how it sounds. If you like the voice then you're good as gold. It's horribly embarressing for me as a Lovecraft fan to admit I still havent read all his stories. Every now and then I'll try to grab one or I'll search the net for any good movies based off his stories. I've found a few amazing ones thats for sure. Heres the link for the audio books..
Brilliant page with quite a bit of work put into it. Aside from that link I'm going to paste a few more up that are of sites I have come across or follow that update on Lovecraft stuff.
As for movies there are far too many for me to list with my shoddy memory. A few that spring to mind though, Re-Animator, From Beyond, The Call of Cthulhu (which is done as a 1920s silent film), Dagon, ..argh theres that memory I was talking about... Well there are also others that arent Lovecraft but certainly inspired by him like Carpenters excellent In the Mouth of Madness. Sam Neill was awesome in it.