I've not actually read anything by Lovecraft, but I do have a book called "Shadows Over Baker Street." It's a collection of recently written Sherlock Holmes stories that take place in situations inspired by Lovecraft's work.
I attended a discussion on the Holmes stories earlier in the semester, and one of the other students attending recommended the book to me. It's very good...but very creepy.
And yes, I've heard about Cornwell's book on Jack the Ripper, but not read it. It sounds a little trumped-up to me.
Read "The Bell Jar" last year as part of my research for a paper on Sylvia Plath's work. Those were some very creepy issues Plath was dealing with...