Lovecraft clouds his stories. He puts them in the mouths of the disturbed, people who doubt their own memory and have little hope of being believed. He bloats them with wordy, technical language. And sometimes—as in At the Mountains of Madness—he floats them in an air of foreboding, of constant portentous dread: the story is one that, says the narrator, "I would not tell now but for the need of warning others off from nameless terrors", one about "that which may end the world we know" if not left alone.
At the Mountains of Madness is horror—it advertises itself as such. But all of that air of foreboding does something to disconnect the reader, and the tale isn’t particularly scary. There are weird monsters and huge revelations, but the narrator has warned about them from the very beginning. They’re too strange to be anything but surprising, but at the same time they aren’t quite shocking: the narrator’s breathless tone inoculates the reader. The sights and sounds have terrified the narrator, but they can’t do the same to the reader. They feel more intriguing than scary.
It’s that sense of intrigue that makes the story work. The story’s speaker has told you, again and again, about the terror of the events, the significance of the world revealed. In that respect there’s nothing left for the imagination. But because the speaker has already taken wonder and horror to their extremes, the reader can leave both these impulses aside. What’s left is only the thrill of discovery, the joy of a mysterious place being unveiled. Here Lovecraft isn’t scary—he’s only exciting.