Listening to the opening paragraphs of "The Dunwich Horror" helped clarify why. The simple truth is that Lovecraft found lots of things frightening that most of the rest of us just don't get scared by. Like fish. And if you don't share his assumptions, then the triggers he puts into his stories don't go off.
To highlighting just how many things Lovecraft found frightening, here are the first four paragraphs from that famous story, interleaved with some observations by me:
When a traveller in north central Massachusetts takes the wrong fork at the junction of Aylesbury pike just beyond Dean's Corners he comes upon a lonely and curious country.
--to a city dweller, the countryside is a strange and somewhat disturbing place
--roads are a little unsettling in themselves, esp. narrow ones
--trees are scary, especially when they're large
and the wild weeds, brambles and grasses attain a luxuriance not often found in settled regions.
--plants are scary when they grow well
--plants are also scary when they don't grow
while the sparsely scattered houses wear a surprisingly uniform aspect of age, squalor, and dilapidation.
--run-down farms are scary
--farmers sitting on porches? scary
Those figures are so silent and furtive that one feels somehow confronted by forbidden things, with which it would be better to have nothing to do.
--locals who keep to themselves? better not risk it
When a rise in the road brings the mountains in view above the deep woods, the feeling of strange uneasiness is increased.
The summits are too rounded and symmetrical to give a sense of comfort and naturalness,
--round mountains? that's just crazy talk
and sometimes the sky silhouettes with especial clearness the queer circles of tall stone pillars with which most of them are crowned.
--stone circles: scary
Gorges and ravines of problematical depth intersect the way,
--gorges and ravines: yup. scary
and the crude wooden bridges always seem of dubious safety.
(actually, as an acrophobiac, I'm with him on this one)
When the road dips again there are stretches of marshland that one instinctively dislikes,
and indeed almost fears at evening when unseen whippoorwills chatter
--birdsong? at night? scary!
and the fireflies come out in abnormal profusion to dance
(is Lovecraft the only person who ever lived
who's afraid of lightning bugs?)
to the raucous, creepily insistent rhythms of stridently piping bull-frogs.
The thin, shining line of the Miskatonic's upper reaches has an oddly serpent-like suggestion as it winds close to the feet of the domed hills among which it rises.
--rivers are scary, especially when they meander
--hills are better the further away they keep
but there is no road by which to escape them.
--don't want to get too close to those round hills
(I hear they rise wild)
Across a covered bridge one sees a small village huddled between the stream and the vertical slope of Round Mountain,
--small towns: creepy
and wonders at the cluster of rotting gambrel roofs bespeaking an earlier architectural period than that of the neighbouring region.
--old buildings: scary
It is not reassuring to see, on a closer glance, that most of the houses are deserted and falling to ruin,
--collapsing buildings: okay, that can be scary
and that the broken-steepled church now harbours the one slovenly mercantile establishment of the hamlet.
--God given way to Mammon?
some find that scary, others just kinda sad
One dreads to trust the tenebrous tunnel of the bridge, yet there is no way to avoid it.
--again, I'm with him on the bridge thing
Once across, it is hard to prevent the impression of a faint, malign odour about the village street,
--"that good fresh country air", as my father-in-law used to call it
as of the massed mould and decay of centuries.
--really old stuff is scary, the older the scarier
(for an antiquarian, HPL was spooked by age)
It is always a relief to get clear of the place, and to follow the narrow road around the base of the hills and across the level country beyond till it rejoins the Aylesbury pike.
--getting back on track after an unintended detour: definitely a good feeling
Afterwards one sometimes learns that one has been through Dunwich.
--i.e., that creepy place with the farms and falling-down buildings
and a bridge and trees and hills.
And fireflies. Don't forget the fireflies.
--Luckily, I shd soon have an audiobook of his dreamland stories, Lovecraft's best work, so there's that to look forward to.