My wife got me a collection of Sherlock Holmes stories set in the Cthulhu Mythos for my birthday (along with the Wiiiiiiiii) and the first story in the collection is by Neil Gaiman, probably my favourite author.
I've just found out that it's available on his website as a pdf. Well worth a read.
Also interesting is the wikipedia page on the story, though not until after you've read the story as it's very spoiler-heavy.