Video games: (in no particular order)
There are a ton of other games I could recommend, but they merely allude to Lovecraft or reference his creations—namedropping Cthulhu or the Necronomicon always works—at one point in their storyline (e.g. Deadlight, Max Payne, Octodad: Dadliest Catch, Saints Row 2, Fable II, Fable III etc.). Others feature one mission that is almost always a retelling of A Shadow over Innsmouth (e.g. The Witcher) whilst others have Lovecraftian-esque monsters but do not necessarily stay faithful to the principles of Cosmicism (e.g. Warhammer 40,000: Dawn of War - Dark Crusade).
A great compilation of other film recommendations can be found here on Lovecraftzine.com, by Mike Davis. Check out the comment section for more films.
Books / short stories: (some of these examples are not necessarily Lovecraftian, but I do think they are definitely worth checking out - most of these works listed inspired Lovecraft to become the writer we love or hate)
You can read the story for free on Project Gutenberg or find “The Willows” in the wonderful collection Ancient Sorceries and Other Weird Stories, edited and extensively annotated by S. T. Joshi himself."Here art and restraint in narrative reach their very highest development, and an impression of lasting poignancy is produced without a single strained passage or a single false note." - Lovecraft
For more new Lovecraftian fiction I would recommend this list compiled by Mike Davis on Lovecraftzine.com.
This list will be expanded in the future with a music section and one for scholarly reading. Fernando might also be able to add a few recommendations himself. But for now, this is all I can give you in the short time I spent compiling this list. I hope you will be able to find something worthwhile.
All the best,