All the typical Lovecraft stuff; cosmic horror, zombies, unfathomably ancient aliens etc... But then consider all the other mythos writers' creations that show up... And then add in some of the scenario writers' creations.
The monster that causes the problems in the scenario Crack'd and Crook'd Manse. A particularly graphic description plus the investigators realising just how big it is can call for a pretty rapid exit strategy from the characters. And the players.
The scenario The Colour of his Eyes from the Secrets of San Francisco sourcebook. A man has a The Colour Out of Space (basically a form of sentient, malevolent light) trapped in his eyes, and he drains the energy from (and kills) anything he looks at.
The game actually tries to remain canon to Lovecraftian Mythos standards, as well. From the spell "Bind Lycanthrope" (which removes their humanity over the course of several days) to the fact that the Rat-things turn out to be, at least in some cases, created from willing cultists and unwilling murder victims, The Mythos is designed around the entire concept of Nightmare Fuel.
Which makes sense, once you know that H.P. Lovecraft had horrible nightmares that inspired a lot of his work...
The horrifying final third of The Mansion of Madness which some game masters even suggest using content warnings for. Seth Skorkowsky admitted one player had to take five to deal with the imagery, and the exposition character of Jack the NPC described it as the players, not the characters, losing a sanity role. For those wondering Crater, a cursed insectoid man, has been kidnapping women to bear his freaky bug-monster children to give himself an army. The player characters find the woman they're looking for chained to a bed, pregnant, with her hands and feet cut off and her sanity gone. She becomes excited when she realizes they're trying to save her...which induces labor and causes multiple bug-babies to eat her from the inside out as they're born, gruesomely killing her in front of the characters. YIKES.
The scenario The Final Revelation captures the tone of a Cosmic Horror Story at its most bleak and austere. A group of people in Britain in 1937 form a book club to investigate different ominous signs that some great horror is coming that will end the world. As the investigation goes on, they and the people around them begin changing: small but noticeable malformities at first, then more, and then personalities and memories start to change for the nastier. Then names and individuals start getting muddled up, as loved ones and sources of stability begin to turn on the characters. Eventually they return to the bookshop and find in the basement, sat around the table as if in meeting, their own desiccated corpses. Here it finally dawns on them that the great and terrible alien gods they were trying to stop had already devoured their world long before they even started, and the world they knew is just a delusion their minds have built to maintain themselves. The characters all immediately lose their minds as their world collapses into a surreal, inescapable waking nightmare.Downer Ending 101.