One that really sticks with me is "The Rats in the Walls." It starts out a creepy little haunted-house tale, then escalates. Has that claustrophobic atmosphere he does so well, in spades. (Gravediggers' spades.) And yes, it has HPL's problematic obsession with "tainted blood," which I swear drives more of his stories than the Cthulhu Mythos did. That book by Houlebeque, "Against the World, Against Life" makes a pretty good argument that his genius was tied up with his pathological racism.
"The Dunwich Horror" is another favourite of mine: again there's the long build up, and you think you know what's coming. Then the monster reveals take it a whole step further.
I think it's "The Case of Charles Dexter Ward" where the villain keeps several huge gelatinous shoggoths in deep pits beneath his basement. They've been jumping up and down, trying to get out, with no food or drink, for the past 90 years. That's an image no other writer could have come up with.
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