Another Schlock Mercenary (Tayler) fan here. I read quite a bit of Lovecraft-style weird fiction (along with sci-fi and fantasy). Flight of the Runewright was great, Gods in Darkness I also liked (I guess I'm a sucker for space-combat), Fury in the Void might have been executed better but I liked the "Space Marine" (Warcraft 40k) style setting. Menace Under Mars I feel a bit conflicted about, at times it's great, at times less so. "Arise" (the first story) does a fine job of weaving different times/dimensions together for the story.
All in all very good collection and not expensive either.
I would also recommend checking out the Arkham Tales (I'm in the middle of the last magazine right now), also curated by Shumate: http://www.coldfusionmedia.us/arkham-tales-1-5-free/
For some truly awesome "Lovecraft in Space" check out Mongoose by Sarah Monette and Elizabeth Bear (http://drabblecast.org has an audio version for free [search for it, the direct url is a mile long]), this is the story that got me hooked on both of the authors: Get Monettes "The Bone Key" -collection for superb classical style horror.