Lovecraft directly taps into my own madness and fears. He is psychologically quite similar to me and manages to actually express how bad xenophobia and the utter indifference of the cosmos feel. Worst of all, his more madness-focused stories like The Dreams in the Witch-House directly remind me of my own periods of insanity and paranoia. So it's really horrifying through its realism, at least for a certain kind of person.

(And he is the only one I know who does that, though I'm (intentionally) not very familiar with some related authors like Ligotti.)

Plus, violations of the natural order are much worse than anything in traditional horror. A color that doesn't fit in the light spectrum is more terrifying and disgusting to me than serial killers, torture or 2girls1cup. Not sure I can explain that one.