I've been working with a Lovecraftian comic for a while now, and even jumped back and forth between my webcomic, Catch A Falling Star and the Lovecraft idea for a while. I finally decided to go with CAFS because I've been working with it longer...
I love the idea, though, and keep going back to it on and off.
Naturally, It'll touch on far darker subjects than CAFS.
As far as what monsters to use... I think you can do both. Cherry pick what works for your story and make up what you need that doesn't yet exist. Make it your own. Lovecraft's own work is in public domain, and like Hot_Coffee already mentioned, he encouraged other writers to work in and add to the mythos.