Shadow of the Comet is THE best horror adventure, based on Lovecraft or not
Then there are
Dark Eye - great interactive novel based on Poes' stories
Gabriel Knight 2 - classical werewolfish horror
Personal Nightmare and Waxworks - both from Horrorsoft (the name talks for itself)
Alone in the Dark - the original one, not the lame sequels
Clock Tower - the one for SNES which I saw is what you need from original japanise horror story
Darkseed - something from Lovecraft, something from Giger.. Just dn't bother with the sequel
Esctatica - one of the best survival horror games I saw