When I was young I didn't read much comics. In the Netherlands 'strips' (comics) were usually the well known comics from Belgium (Tintin, Spike and Suzy) or funny and/or dirty ones. I never really liked them. American comics here were and are expensive, so I didn't read them. But I had friends who did have some, and they gave me Sandman, after which I was a huge fan from this series and Neil Gaiman. I then read Alan Moore’s comics (Moore being Gaiman’s mentor) and loved his comics too, including Swamp Thing. But, as I said, comics are expensive here, and I stopped buying them (mainly Vertigo imprints) after my graduation, unfortunately (though I once got the first issues of Preacher).
I liked the episode on the podcast, so I scribbled some of the titles on paper. Moore's Providence already was on my wishlist, but 'alas', they are out of sale here (and I don't have a credit card or the like, so I can't buy things from 'far away' directly). But I keep trying.
I do have a copy of stories of Lovecraft, adapted into comics by the (over here well-known) artist Erik Kriek (http://www.gutsmancomics.com/news/). Though I didn't read any other books by him, I think he likes weird tales (although he also likes to make parodies and to add the afore mentioned sexual dirtiness). Many of his comics are translated into several languages. His adaptation of Lovecraft (http://www.gutsmancomics.com/works/comics/#44) earned a lot of praise.