Greek (and World) mythology in general. In my octopus hub I speculated the connection between titans and Cthulhu. I think Lovecraft was also inspired by Poe, reflected in gothic stories like "Rat's in the Walls" (the hereditary curse theme is popular in Gothic-Horror particularly "The Fall of the House of Usher.")
Mostly his love for diverse religions and mythology from a very young age inspired his monsters. I also read that he first conceived of Abdul Alhazred (sp?) author of the Necronomicon from a story from childhood that he wrote when inspired by "The Arabian Nights."
If I'm wrong on any of this, Lovecraft fans, I'm open to corrections.