You may or may not have come across these books already. Fairly recently I came across these two Lovecraft books by Kenneth Hite. Tour de Lovecraft is a cleaned-up collection of Livejournal posts he had made regarding his thoughts on Lovecraft's stories, covering everything in the Penguin Classics anthologies as well as that one he ghost wrote for Houdini. The other is Cthulhu 101, which serves as an amusing introductory book for the Cthulhu Mythos.