The HPLHS have put out some good stuff. So far there are 3 music CDs - "A Very Scary Solstice" and "An Even Scarier Solsitce" (IIRC) and the musical "A Shoggoth on the Roof", two audio drama adaptions ("At the Mountains of Madness" and "The Dunwich Horror") and a DVD of "The Call of Cthulhu" (a largely faithful adaption, as a 1920s or '30s silent movie).
Leisure Games in London stock most of the HPLHS stuff and they do mail order.