Lovecraft was a master of that, and I've found it to be a hard style to emulate because he was specific yet vague at the same time. Nightmarish creatures, new definitions and depths of madness and insanity, and acutely hitting the details of fear, anxiety, paranoia and a madness from things incomprehensible. And the fact his stories did have some inconsistencies, in my opinion it really just helps reinforce the frequent themes of humanity being weak and frail in the grand scheme of things.
That's also part of why it's so challenging to translate his work into cinema and video games. Show too little and it gets stale. Show too much and it's no longer Lovecraftian.
Parenthetically, I highly recommend these Lovecraftian horror movies/show episodes:
- Bird Box
- The Endless
- Guillermo del Toro's Cabinet of Curiosities: Pickman's Model (episode 5)
- In the Mouth of Madness (my favorite on this list)
- The Mist
- Underwater
- The Void.