One might also argue for the existence of sexuality in Lovecraft's work in a psychologically tangential way, but its right at the fore in "The Great God Pan" which has a great deal to do with the horror of women invading the business of men. It begins with a scientist rather brashly asserting his right to conduct medical experiments on a woman because he picked her up of the streets and supported her financially, something I think was intended to be sinister, but only so far as to say that it was folly of man that precipitated events that warped women into an unnaturally masculine--sexually assertive--state. Though Pan is a male figure, we see his more corporeal influence in the work through a female character, who lures both men and women with her wiles to their ruin and doom.
In that she only appears in the story sort of second hand, from characters talking about her rather than having any dialogue of her own, the story shows a keen construction for evoking horror. In allowing her--and Pan--to exist purely through the reactions of characters established as relatively normal English gentlemen helps create the sense that she's something awful, dangerous, and unquantifiable, a nice impression tempered somewhat by knowledge of the Victorian sexual repression that motivates it, something which I think may be more responsible for dampening the work's modern impact relative to Lovecraft's. It's appreciable almost ironically--one actually sort of likes Helen, cavorting with nude nature gods in the woods, seducing innocent young village maidens and smug upper crust society men.
The implication seems to be that, in her sexual assertiveness, Helen is sort of half-man, being not merely an offspring but also a sort of manifestation of Pan, a pagan Christ, probably coming from the Victorian belief in the impossibility of the female orgasm. So, yeah, I like Helen. Someone should write something really fun and revisionist about her, if someone hasn't already.