Your PCs passed their SAN checks...
No normal, sane, individual gets out of a perfectly safe taxi in the midst of a storm to go investigating strange noises/lights/etc. in the woods. I certainly wouldn't as a person. Would you?
Published Cthulhu modules often work to present multiple ways to get PCs to the same location/clue/deduction. So if they go West in town, they run into this encounter, but if they go East out of town, they run into this other encounter that has the same end effect plot-wise. This is one of the things I love about their modules; they don't require you to railroad players in dungeons for the stories to work out.
Use that same concept. Provide yourself with more than one way to show the players/PCs what they need to see.
You're at the gas station, in a storm, and they see... something in the woods. That's great. Now, how do you get them out of the car? Flat tire? Out of gas? Okay, so now they're soaking wet, miserable, and busy. Then they see something that might be worth investigating. But what would motivate you as a person to abandon the relative safety of the station, car, etc. to see what that thing is? Curiosity alone will only take you so far.
Did someone cry for help? Did they drop an important thing that the wind snatched and now they have to go retrieve it? Give them a reason to want to abandon the safety net.
Have a backup plan. If they won't get out of the car, have the big bad get them out of the car. It's brute force, but if the monster jumps on the roof of the car, in the dark of night, in the storm, they won't get a clear view of the thing, but they sure as heck will be motivated to be somewhere else. As a GM, come up with ways to say to yourself, "OK, if the players go left when I kind of need them to go right, how do I let that happen but keep the plot moving forward?"
Meta-game with your players before the session starts
In Cthulhu, especially, the players need to come to the game with the idea that their characters are investigators. They are the Scooby Gang of your story. So they, as players, need to be willing to meet you half-way. They have to be willing to push and prod their characters to leave the safety net and investigate. Sure, a normal, sane person would run and never look back. Isn't that what we always scream at actors in horror films (in our heads if not out loud)?
So you need to talk with the players and get them to accept that curiosity and a willingness to investigate is a foundation stone of the genre and the game. So find out if there's some key thing they need to help motivate them as players to motive their characters.
One tool Cthulhu sometimes makes use of is attaching events to people your characters know and care about. Some random petrol station? Who cares if the monster attacks. Grandma's house? Oh yeah, someone cares. Work with your players to build hooks into the PCs that you can tug on. Tug gently, but tug. Don't over use those hooks, but sometimes they are necessary. As I recall, the 3rd edition Cthulhu book comes with a start game that has the players all playing students of a professor who begs the characters to investigate a thing the professor started in his youth but never quite completed. On his deathbed. That's the hook: the characters all know and care about the NPC enough to at least start the story.