Now this is interesting:
Pay attention around 5:02 ( or 3:24, depending on the viewer settings ).
Most horror movies are a modern morality tale. Do the Bad Thing ( have sex, do drugs, whatever ) and the Bad Man punishes you.
Lovecraft, as Gaiman points out, isn't like that. In his world, you just stay at the wrong hotel or find a box of papers among your dead uncles belongings. The malevolence of the universe is manifest not against those who violate societies norms but against society itself.
The only morality is the universe doesn't care, and that human morality is irrelevant. Perhaps that's part of why Lovecraft still has some appeal, even after all these years; it's an interesting answer to the question "why do bad things happen to good people?".