One more thing:
Also, a minor quibble, what would The Terminator or Alien, or Robocop, or The Thing—or Frankenstein, for that matter—be without existential horror? It comes across in a movie, if the filmmaker is talented.
(You're aware that one of those is a remake and one is an adaptation of a book?)

Yeah, I worded that wrong; "existential horror" is my lazy go-to phrase for "I don't have the vocabulary to explain it." But I do believe that Lovecraft (what little I've read) is one of the few things that I'd categorize as "unfilmable." I'm reluctant to call it that, but there's just so much evidence.

I'm less convinced of the connection with The Terminator, Robocop, or Frankenstein, because they've got the "unstoppable" part but not the "unknowable" — we've got a clear idea what created the problem, even if we've got no idea how to stop it.

Alien and The Thing are almost there, though: that sense that there's something out there that we don't understand and can't control, but it wants us dead for no particular reason we can identify, and if we go up against it we're basically screwed.

Still, the greatest things about Lovecraft are the things that make so many people believe it'd be perfect source material for a movie, and conversely fall apart as soon as you try to make a movie out of it. Most obvious is that the horror can't be seen: as soon as you show the monster, it becomes this enemy you can start to figure out and try to kill. Movies don't do shapeless dread very well. Second is the scale: you've got to get the sense that the creatures are everywhere, and larger and more horrifying than you can imagine, and that we're so insignificant in comparison that our only hope is to not know of them. Anything you try to show cheapens that.

And the stories I've read all have an "empty" protagonist, not that interesting on his own. So you don't see it as a story that's happening to someone else, but as a situation that you (or "humanity") could find yourself in if you go looking for stuff that's best left unknown. As soon as you show a protagonist in a movie, though, it becomes a story about that guy. Even if he is dull enough that you can project yourself onto him.

Obviously I'm at a disadvantage for not having read the screenplay for In the Mountains of Madness (or read that book; I've only read the stories), but based on what I know of Lovecraft and del Toro, I've got a pretty good sense that it's one of those ideas that seems amazing in theory but would actually fall apart in practice.