Assault on Innsmouth is a set of free wargames rules for involving the Lovecraft Mythos. The players are government forces taking on the horrors in Innsmouth. The forces of the mythos are run by the system. The rules are a heavily modified version of the Two Hour Wargames system. There are also expansions at Board Game Geek.
Strange Aeons is a skirmish wargame of Lovecraftian horror. You can get a Strange Aeons demo kit here, and the quick reference sheet for the second edition Strange Aeons here.
The Void is a free RPG with a science fiction/ Lovecraft setting.
Convicts and Cthulhu is a Call of Cthulhu supplement set in the Australian Penal Colony. From the product description:
Convicts & Cthulhu is a sourcebook designed to allow Call of Cthulhu Keepers and players to run scenarios and campaigns set in the penal colonies of early Australia. It particularly targets the historical period from 1795 to 1810, a time in which law and order played second-fiddle to greed and corruption. This was the depraved era which led ultimately to Australia’s first (and only) military uprising: the Rum Rebellion!