Even before I became a rationalist and shed the legalistic ideas within the church that discourage watching certain genres, I appreciated horror on a personal and philosophical level. As a rationalist, I now understand why. Horror is always at its core about self-awareness, epistemology, and metaphysics, about facing some aspect of reality even if it is only part of the reality of how one perceives things (as opposed to the reality of a separate entity). In other words, it is more overtly philosophical from the start than many other genres are because it is more prominently about things like the nature of what exists, how one would know of such things, and how one might respond to confronting metaphysical terrors.
Cosmic horror even more directly embraces this philosophical bent by making the terror specifically about uncertainty, nihilism, miniscule ability to control events, or something rooted more in the nature of reality or the fictional world than simple pursuit by a murderer or onscreen darkness. Lovecraftian cosmic horror is the predominant example of this subgenre, not that every later cosmic horror storyteller was specifically responding to or referencing Lovecraft--as if a subgenre must always be contributed to out of direct influence by a prior storyteller's work! There is cosmic horror inspired by Lovecraft and cosmic horror that might not be.
In fact, while some of the following examples were reportedly inspired by the ideas behind Lovecraft's writings, some of them have little to do with Lovecraft. The Empty Man from the movie of the same name, Pennywise from the book It, and even Darkseid of DC Comics in his more cosmic forms are all eldritch-like, supernatural entities that transcend the physical cosmos and have their goals that humans can scarcely relate to in terms of their scope (though It was inspired by Lovecraftian horror according to Stephen King). There are either shades of cosmic horror or fullblown existential horror in the use of these figures, as all of them embody some enormous metaphysical distinction from humanity that makes them closer to deities--though only the Empty Man of the movie bearing its name, rather than the the graphic novel it is loosely based on, is described as the uncaused caused.
Lovecraft is in no way the only storytelling presence in the cosmic horror subgenre within horror at this point. This philosophical approach to horror (even though Lovecraftian metaphysics is riddled with key errors [1]) has appeared in plenty of other works, highlighting the truly abstract potential for horror that often goes unacknowledged by those who are not appreciative of the genre. To even understand a book like It or a film like The Empty Man, much less the original Lovecraftian writings like Call of Cthulhu, a person must be somewhat directly thinking about philosophical concepts that go far beyond the kind of themes and events featured in many stories.
You can watch, read, or play general horror without specifically thinking about anything besides the plot. The same is not true of cosmic horror, where the plot inherently involves themes of existentialism, metaphysics, and epistemology, or else it would not be cosmic horror. An audience might not specifically think about whatever grander concepts are brushed up against or openly embraced in the story (whatever its medium) without using the story as a crutch to do so, but at least thinking about cosmic horror tales inevitably brushes up against such things. For most genres, this is not the case: people can consume the entertainment without ever thinking beyond a more thematically basic kind of art.
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