For Lovecraft science has kind of the opposite meaning. The role of the scientist in his fiction seems to be firstly to prove by scientific method that the protagonist is not simply mad, at least at the beginning - being driven mad by exposure to horror is a common theme; and secondly to prove by failure that the phenomenon is not explicable in scientific terms, usually as it originates from another planet or dimension where our physics does not necessarily apply. So, while for Wells there is no supernatural, for Lovecraft the supernatural must be proven.
Whether they are actually scientists or not Lovecraftian protagonists tend to be sceptical until faced with insurmountable evidence of the awful reality. A typical Lovecraftian plot is basically the gradual realisation that the horror is actually real, with the gradual revelation of the complex vision - for example the pivot that changes The Call Of Cthulhu from a good old yarn into something more powerful is the moment where the protagonist connects all the simultaneous events around the world.
Lovecraft's horrors vary from the intangible creeping liquid or gas (The Colour Out Of Space) through creatures never quite seen but hinted at by mysterious footprints, through complex conspiracy scenarios and alien encounters (The Call of Cthulhu). Creatures tend to combine elements of different known Earth species, although scaly wings capable of traversing the ether are a frequent adaptation. The creature (or intangible) is only the start - the horrors extend heavily into locations which are utterly overgrown by evil auras, lead to subtle or not so subtle mutations in the landscape, plants, animals and people around them (The Colour Out Of Space, The Shadow Over Innsmouth), cause psychological mayhem through dreams, hallucinations and unexplained dread; and supernatural horrors are surrounded and augmented by horrific human cults.