Ah, depressing. I loved True Detective - very very close to what I wanted, hopefully they will do another series. The king in yellow was one of my mythos books too. If it had some weird otherworldly creatures glimped vaguely, it would of been 100% what I want to see.
I also really enjoyed the series Carnivale for strange period stuff - infact HBO have done a lot of weird period based stuff I have enjoyed over the years. Also really liked stuff like Twin Peaks.
As for lovecraft - perhaps i should of specified "mythos writers", he may of started the mythos but he was nowhere near the best writer (infact I only like 5 or 6 stories and I wish he never even invented Cthulhu, especially considering the overwhelming focus and amount of awful media based on it - this probably makes me a heretic when it comes to mythos fans lol)
edit - person of interest sounds very cool! I love detective stuff with SF/fantasy/horror elements in general. Thanks for mentioning that one