* To my knowledge, Lovecraft didn't play around with the fears of bureaucratic societies; few writers do, outside of dystopic fiction, and even those tend to focus on how the other three society types would be afraid of an alienating, depersonalized society, rather than on the fears of bureaucratic ambiguity or double-bind situations.
Lovecraft also used Small Group fears, since at the very least everyone has experienced Small Group societies in the form of their family. For RPGs, the party of investigators or adventurers is also a Small Group, so you can trigger these kinds of fears by luring the party to rural areas, remote locations, campsites in wilderness areas, or abandoned houses outside of town. Dopplegangers or mind control would fulfill Small Group fears, but these are problematic in RPGs; you can still effectively play on this kind of fear by using situations where the frightening, dangerous thing is inside one of the characters. A possessing spirit, for example, that can see through a PC's eyes and cause poltergeist effects (or worse) in the PC's presence would keep the players worried: which PC(s) is/are affected, and how did it happen? How do you fix it? To make it less gothic and more cosmic, make the entity a parasite or other infection.
Fear of the outside getting in doesn't just mean "inside a person"; it also means "inside our safe area". Put something really bad outside in an isolated area. The PCs will retreat to some location -- a house, a cave -- that they feel they can defend. Then, drop hints that something may be inside, with them. Where is it? Is it worse than what's outside? Can they retreat somewhere where it can't get them?
Of course, Daddy Grognard's real concern wasn't how to present Weak Group or Small Group fears, but how to handle Strong Group fears about violations of the social order, specifically the fears of miscegenation and fears about evolution that made so much sense to people like Lovecraft, but not much sense today. One solution is to just pay lip service to things like the Innsmouth taint, but shift focus to the Weak and Small Group fears, which is why I've said so much about them. The other is to shift Strong Group fears away from late 19th and early 20th century fears of race-mixing to the equivalent 21st-century survivals. The Strong Group social structure isn't as strong today, since the old class structure and racial distinctions have fallen away, but there is still a remnant that makes sense even today:
- economic class distinctions (upper, middle, lower);
- "polite society" vs. criminal underclass distinctions; and,
- functioning member of society vs. total dependency on others.
The second distinction can be particularly relevant to the roaring '20s. You have gangsters, many of whom have personas in polite society, but with the lowest class of hoodlum in their employ. Use Raymond Chandler as a guide. Investigative techniques work a little different when you're investigating cultists who are operating outside the law, because being discovered means a risk of a violent response, which the PCs often will not be able to answer in kind.
But the third distinction is probably the biggest one. You have people who are gainfully employed, and people who depend on charity because they cannot help themselves -- and the violation of that category, the people who seem gainfully employed, functioning members of society, but who are not actually capable of caring for themselves.
For a Lovecrafting horror story, this means the insane. Sanity is a big deal in Lovecraft because creeping, secret insanity plays on three kinds of fears: social incapacity, paranoid delusions about the outside sneaking in, and inability to comprehend what is actually going on. Work with that. Instead of having PCs that fail Sanity checks temporarily lose control, keep their current sanity state unknown to the players and feed them information that may be things only their PCs have spotted or distortions of reality. "The others don't notice, but you spot several tiny spiders burst from the man's mouth. Some of them are crawling towards you!" Are the spiders real, or a hallucination? What if the PC starts seeing the spiders every time he's in public? What if the neighbors think he's unstable and ought to be committed? What if your colleague sees spiders that you don't? Can you trust him?
Can you trust yourself?