While I love Lovecraft's fiction, adding in new monsters doesn't make sense to me in the context of his work. He has a few stories with recognizable monsters of various kinds, but they're a comparative minority and usually written early in his career. It's a little sad that Lovecraft's influence on modern gaming often boils down to concepts and ideas that aren't really representative of his fiction. He writes about dreaming and the uncertainty of our sense perceptions more often than cults, monsters, or even ancient ones.
Megabeasts aren't a good fit for the ancient ones. Cthulhu is like god to us, so far beyond our perceptions that we go mad trying to understand it. It isn't just some big monster that appears in front of the
Alert and isn't even physically present in the sense we understand (as implied when the Alert plows into it, but doesn't hit anything). Cthulhu's "city" features non-Euclidean geometry because it's built in a world/dimension with different physics, not just a different "type of geometry", and certainly not because the builders just built everything crooked.
To paraphrase a
youtube video, you can't put a health bar of any kind on an ancient one. I'd much rather see syndromes (like the colour out of space, as mentioned), religious cults, dreaming, and madness. I don't think it's possible with current game mechanics, but a mod that involves exploring an alternate dimension when you sleep is very much in the spirit of Lovecraft. I'd hate to read any combat log that ends with one of Lovecraft's gods being killed or hurt, as that doesn't make any sense in the context of his work.
Lovecraft strongly disliked alcohol (read "Old Bugs"), so one starting point for a Lovecraft mod would be to introduce negative consequences to alcohol and reducing reliance on it. I suspect that he would be disturbed by the game's alcohol mechanics. You could do this in a fort by just not brewing alcohol and relying on water, but then your dwarves will be slow and unhappy.
This whole thread is in the "Dwarf Mode" board rather than the "Modding" board, however, so I surmise the intent wasn't to discuss modding. Toady has mentioned alternate dimensions several times in the past, including a mention of non-Euclidean geometry (see the DF Talks). Starting scenarios should also let you start with the specific goal of making a shrine to something, and I think that the upcoming myth generator looks fantastic, and is definitely (at least in part) in keeping with some of Lovecraft's work. At the moment I don't think you can do much beyond mod the game and roleplay, but some of the promised features definitely remind me superficially of Lovecraft.