My favorite Lovecraft story is "Cool Air", which got a decent (but not great) adaptation in the movie Necronomicon (which was a composite of three short movies), starring David Warner.
My favorite Lovecraft movie would have to be the B&W silent film Call of Cthulhu for its technical mastery of setting and mood that it established, although as a guilty pleasure I was quite fond of Dagon. Also, the third and final short film in Necronomicon, the one about the mi-goes, was actually scary. I enjoyed that one the most.
And to whoever said Cthulhu Mansion was "good".....please, send me the number of your supplier. Because apparently he's discovered some superdrug that's more effective than any known one.