Set in the pulp 1920s, Strange Aeons is a skirmish game that sets bands of adventurers against Lovecraftian horrors. The game is commercial, but they have a free test version.
horror
Cthulhu Skirmish
The Cthulhu Skirmish game from Warpspawn is designed to be played on a chessboard with miniatures. Each figure represents one man or monster. I also think that it would be easily adaptable to playing as a more traditional miniatures game.