Is Lovecraft supposed to be scary?

Starting to read a lot of Lovecraft, and I'm really enjoying it. I've only read like 5 or 6 of his stories (including Call of Cthulhu and The Dunwich Horror as being the famous ones) and I'm really enjoying it. I think HPL has quickly risen to be among my favourite authors. But I'm not really scared, or terrified by any of his work so far, as I would normally with Horror fiction. Instead, I'm just entertained and fascinated by it. Is this normal? Are you supposed to feel like that with Lovecraft?