I like it when it does happen with fiction. The way Slender Man was created, Lovecraft, Iain Sinclair's thing...
Lovecraft was all over the idea of blending fiction and reality into a seamless, organic whole - hence he'll mention Abdul Alhazred and John Dee in the same sentence, and if you didn't know any better you might think they were both real (or perhaps both fictional). I think some people even believed the Necronomicon was a real book within Lovecraft's own lifetime, which would have tickled him pink, and some think he was some kind of masterful esoteric initiate who hid behind this mask of a rational atheist (I think znore - Mr Grapejuice - has thoughts in this direction). If you know anything about Lovecraft's actual life, the company he kept, his private correspondence and so on, you'll know this isn't true, but it's still intriguing.
In particular, the idea that "the gods" of the most primal belief systems were half-remembered echos of powerful extraterrestrials that visited and perhaps settled the ancient Earth, from stories such as 'The Shadow out of Time' and 'At The Mountains of Madness', were a huge influence on Louis Pauwels and Jacques Bergier, who'd edited a 1960s sci-fi/weird fiction magazine that published a lot of HPL's stories in French, and who later collaborated on a book called
Le Matin des Magiciens. This in turn was a massive influence on Erich von Daeniken, Zecharia Hitchin and L. Ron Hubbard. So in some weird, postmodern sort of way, the nefarious Cthulhu cult became real and lives on to this day as the Church of Scientology.
Lastly, I'm sure I read something in the Nick Land thread about Land's belief that capitalism and the internet are somehow *creating* the Great Old Ones, thus making HPL's fiction into an eventual future reality? Reminds me of the way the secret clique of encyclopaedists in 'Tlon, Uqbar, Orbis Tertius' by Borges create a fictional world that somehow becomes real and eventually subsumes the real world.
I guess stuff like this might make sense to someone who considers amphetamine sulphate a food group...