Herbert West, The Lurking Fear, The Shadow over Innsmouth, The Outsider, (I forget the name of the story set on the German sub), From Beyond, Beyond the Wall of Sleep, At the Mountains of Madness, The Hound and The Cats of Ulthar.
Great idea and an excellent name. While I know this site is both diesel and steam, I've long thought of Lovecraft's work as dieselpunk rather than steampunk. Especially when you consider when he wrote his stories.
If you would like to help, start with one article and just email it to firstname.lastname@example.org
An article can be a review of a story, novel, comic, movie, game, radio show, etc., or an image dump related to a single theme. If you're feeling really motivated, original stories or serials set in the mythos would also be appropriate.
Might it be appropriate to mention the Hellboy comics in this thread? I keep trying to get into Lovecraft but his writing style has not grabbed me. What he does do, of course, is act as an amazing catalyst for an awful lot of nasty things just out of the corner of one's eye...
But what I should repeat is my feeling that Hellboy, owing its mythos entirely to Lovecraft, is very dieselpunk in its recreation of the Nazi terror machines.