Sacred Haven of Debauchery

I just stumbled upon a website with funny content featuring characters born from the imagination of Howard Phillips Lovecraft and his followers, and it made me want to read more. I heard that he was inspired by Edgar Allan Poe, so I also want to read him.
I'm curious why people find Lovecraft's books scary. The guy has an amazing imagination; it's a bit creepy, but very cool and not scary at all (unless you worry about the characters, but they are usually just puppets created to tell a story from their perspective about his latest creation). I get much more scared by some SCP stories or creepypastas; sometimes I really regret reading them, and I can't sleep all night. But I consider those things to be true horror, while Lovecraft's works are more like mystical thrillers that captivate you while reading, but they don't risk making you go gray prematurely or ruin your sleep.