Though not specific to the Cthulhu Mythos, The Lovecraft Investigations is highly recommended to any lovers of Lovecraft. It's a spoof true crime podcast set in the present day and the plots are based on classic Lovecraft stories.
As it's BBC, I'm guessing it may be geolocked, but for anyone who can access BBC Sounds the previous three seasons are available and a new one is about to start soon.
Yes, I mostly buy from Qobuz and Bandcamp these days, and they've been solid so far. But I don't trust keeping my files in the cloud (aka some else's server), I buy DRM-free, keep copies locally, and keep them backed up.