lol yes they are, especially the florida ones! haven't read too much lovecraft; will have to check him out.
Check out his short story 'The Outsider.' Probably the best horror short story I've read, and it provides an excellent answer to your OP, but posting it would spoil the story.
Im going to have to say places where horrible things happened, like Chernobyl. Maybe thats just on my mind from playing S.T.A.L.K.E.R.
Lovecraft is a gold mine. I read one short story where the MC ends up a disembodied brain in a vat, on an alien spacecraft. He'd be immortal this way but have no power to act in any way.
I think that what makes the difference is not the scenario but how it's handled. I think Lovecraft's handling of stuff like that has been surpassed by countless subsequent writers, the one thing he gets right is the bits he leaves to the reader's imagination. Because what the reader imagines can be what they find the most frightening, not what he thinks they will find frightening.
Lovecraft has been mentioned, but... The friggin' Slender Man. I mean, I know it's fake, and it still freaks me right the heck out. If you don't know what it is, look here.
