I haven't seen any other Lovecraft film adaptations, so i can't say for sure, but going by reports and reviews of others this is by far the best. Ironically actually based not on the Lovecraft story of the same name, but on the longer (albeit slightly-related) Shadow Over Innsmouth, two couples are shipwrecked near a small, dilapidated Spanish town named Imboca. One of the couples goes to shore for help, but they have to split up, back at the boat the other couple has vanished, and from there things get more and more creepy. Some of the residents appear to have a strange affliction, and some even have visible, grotesque mutations. Everywhere is permeated by a slimy, cold and uncomfortable dampness. Strange noises come from behind seemingly-abandoned buildings with boarded-up windows and doors - slitherings and thumpings, suggestions of teeming life within the noisome dark spaces...
Some of the changes I think were made due more because of budget restraints than anything else - the town being spanish instead of either american (as suspected from the story) or english (as indicated by hpl himself in some letter or something written after the story); the main character's flight from the bad guys is shortened (if done like the book it would probably have ended up being too boring) as is the history of the town, as told by the local drunk, and beginning of the story has been altered so that the film does not take too long to really get going. I was pleased that the film kept with lovecraft's style of ending (no i won't give it away and i implore anyone else who posts not to do so either), it even managed to get in the unexpected twist - i thought i had it sussed, having read plenty of Lovecraft stories, however my expectations were chanegd twice in the last five minutes.
Some of the suspense of the story is lost if you have already read The Shadow Over Innsmouth, but then even if you haven't, it wasn't Lovecraft's way to provide lots of surprises throughout his stories, it was instead his way to shock and scare you, and perhaps more importantly provoke thought (usually).
It is truly a crime that films such as 28 Days Later, albeit good, get box office success whilst gems such as this go relatively unnoticed.
BTW, At The Mouth Of Madness, although similar in name to one of Lovecraft's stories (At The Mountains Of Madness), is nothing to do with that particular story, and is not based on any Lovecraft story (although it takes some inspiration from his writings).
I also include Amazon links for three of the best HPL books you can buy atm, that represent a good spread of the different styles his writing took.