Lovecraft's Main Character Problem and Concepts one can't Comprehend

There are two thoughts that came to my mind yesterday. 

First, was the realization about Lovecraft's protagonitst. Most, if not all of them, are studious characters. It's not a bad idea to write what you know, or in this case, to insert part of yourself into your story. Many of Stephen King's characters are writers and my KIY main character is based on my experiences at my old school. But almost every character is drawn to Eldritch horrors by their own curriosity which leads to madness or death. It's strange because this reminds me of the comparison to the Friday the Thirteenth movies. In most horror films, the monster comes after the characters. In Friday, the characters go to the monster. Stupid, drunk, and horny teens end up on the chopping block after visting Camp Chrystal Lake for whatever reason. Why the rumors about the Lake haven't steered anyone away is a mystery but who cares? More teens to kill. Lovecraft's characters always seem to be drawn by something. Like my favorite The Shadow Over Innsmouth in which the narrator goes to the town to investigate some geneology history, if I'm not mistaken, which leads to the discovery of his own heritage connected to the town. The Call of Cthulhu uses a similar technique where Francis Thurston is interested in the notes left behind his uncle relating to a cult around Cthulhu. I dont' really understand the draw behind these character's motivations. What do they gain by sticking their collective noses into these mysteries? 

Speaking of mysteries, I don't understand the concepts that Lovecraft is alluding to. Lovecraft is always coy enough to make your imagination do the heavy lifting. Instead of describing a monster like Cthulhu he writes "A mountaing moved." In your mind you see an impossilby large creature move. The horror of seeing something as large as a mountain take a step is terrifying. Very clever of him.