The key is to build up tension and make people feel uncomfortable and make people feel like they understand just enough to read through it without getting bamboozled, but at the same time, obscured enough that people can't say they know what's going on. Lovecraft makes the risky decision of twisting grammar to do this, but when done right, his technique works. When describing The Thing, use contradictions, weird grammar, run-ons that people get lost in. I'd reccommend trying some stream of consciousness if the narrator is the character and going mad.
Take the Dunwhich Horror (Among a few other creatures) for example. He goes about initially saying that the creature is indescribable, only to immediately describe it in full detail after that. But, given the confusing and unwieldly way he describes it, with only the most evocative and disgusting things about it being particularly clear, (Cephalopod parts were pretty shocking for their time, I imagine. These days it's all about gore, eyeballs, and spirals if you want body horror.) you start to actually believe that what he's describing is actually indescribable, even though he may actually have had a clear image in mind when creating the monster.
Another idea that persists is the idea of the hopeless protagonist. No matter how badass or intelligent one man is, they change nothing in the end, and often end up killing themselves. The universe is vast and uncaring, and in the end, creatures infinitely more powerful and complex than we are tread upon and devour us like insects. It's difficult to convey that feeling when humans have to be pretty special to begin with to uncover these things working under the nose of all human world powers, but you can pull it off if you work it right.