I have managed only a couple of times, but as a GM. And the first time is one of my best gaming memories, and one of the reason I keep GMing.
It was not in a Lovecraftian setting at all (Exalted actually, making me even prouder), so I won't be able to give you setting specific hints there, but the method can supposedly be applied to any game. I have found the most effective way to be based on a combination of the following factors (which rely heavily on writing methods):
Show, don't tell.
Never say "it looks scary", and even less "it is scary because..". Just describe it. Describe the scary parts, but without directly saying it is scary. Describe the unnatural aspect of it, but without saying how unnatural it is. People tend to feel stronger about a conclusion they reached by themselves than something you told them. The less you say, the better it is.
"The little girl turns towards you, her eyes silently weeping blood. She lifts a hand towards you, and you can hear in the silence of the room her bones break during the process."
People are scarier than monsters.
Two reasons for this one. First, humans can be a lot more sneaky and cruel and evil that whatever Ancient One out there. I don't need to give examples, but some people out there do really messed up stuff, they can be everywhere, they are unpredictable, they can target your family, friends, and do horrible stuff to them. Evil Monsters just want to steal your soul and torture it for eternity. Meh.
Second reason is that at the end of the day, monster are just that: monsters. They can have twenty tentacles and be in 17 dimensions and a half, just close the book and they are not there. People are real, and you will have to be with a dozen of them in your subway trip back home.
The best and worst feelings you will have in your life will be caused by someone else. People are powerful emotion-makers, use them.
Unexpectedness & Suddenness.
This one is especially true in RPGs. Rampant fear & ambient fear are really difficult to achieve, as players will naturally adopt strategies to fight it: they will make jokes, focus on something else, stop paying attention to a while...
This isn't a bad thing. This is what scared people do in real life.
But you will have more 'satisfying' results if you use an unexpected / sudden trigger, if possible in a somewhat stressful situation, almost relaxed. You will cause a peak of fear, without any time for your players to adopt any strategy to compensate. Set up a stressful situation, and drop just one element (see Show, Don't Tell) that changes everything, making the situation very dangerous.
"Torches in hand, you arrive close from where your daughter is tied, spots of blood on her white dress. She looks unconscious. That's when the smell hits you. The floor of the pitch black room is not covered in water. Your daughter is not covered in water. Gasoline."
This point work even better when using elements established previously in the story. The torches + pitch black room above are an example, but the farther in the past the elements are, the better it is - the players need more reflexion to conclude by themselves why they should be scared, and thus will feel it more.
"The PCs are infiltrating an enemy military camp, in order to earn the trust of the enemy king. Finally, they are to meet him in a formal ceremony. It is grandiose, there are hundreds of elite soldiers there to celebrate. The enemy king finally arrives, and ask for the PCs to come and pay their respects. As they arrive in front of him, they recognize him: [drop the name of an enemy NPC they met several stories ago, who has a grudge against the PCs and know they are not soldiers]."
Use humans as often as possible. Never say that something is scary, let the players reach that conclusion themselves. Switch as fast as possible from "this is kind of bad but it will be a lot worse if" to complete silence + deer in headlights face. Laugh maniacally.