My favorite horror is the horror in which the protagonist doesn't overcome whatever fear they are trying to overcome. That's why I enjoy Love craft's work, no one wins in his stories. You can't beat the monsters, only hide and hope they don't find you. Tying into that, when the protagonist is the monster horror is even more potent to me. There's nothing more terrifying than what is in your own mind.
You might check out revival by Stephen King. it is lovecraftian, although a little more explicit in descriptions where as Lovecraft while descriptive, left a little more to the imagination. It has a "happy ending" in so much that the protagonist stopped the evil from coming through into our world, it is still there trying and whispering to him.