It's late so I don't feel like trying to ramble off a list of Lovecraft comic book adaptation but I will tell you that you need to get your hands on Kenneth Hite's "Cthulhu 101" (2009). This book is a treasure trove of information about Lovecraft, the Mythos, and it's various comic book, music, game, and film adaptions. The section on Cthulhu Comics is quite long and detailed and includes an aside which explains how "Arkham" ended up becoming the name of Gotham City's maximum security asylum.

If your looking for straight Mythos adaptations you probably can't do better than either John Coulthart or the Oct. 1979 issue of Heavy Metal Magazine. Richard Corben did a collection for Marvel a few years back but those are more "interpretations" than "adaptations." And while I generally dislike any of Boom! Studios Mythos related stuff the illustrated, hard cover adaptation of "Nyarlathotep" they released is very nice. Also look into Graphic Classics.

Lastly, if you are in the market for a truly great Mythos-inspired comic that you don't mind doing some searching for, hunt down a copy of Gordon Rennie and Frazer Irving's The Necronauts published by the British comic book company 2000 AD. This is a real gem.