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For Playstation, definitely Amnesia. I also recommend Soma, though it isn't explicitly Lovecraftian (it's an excellent horror game, however). I suppose Slender: the Arrival is also vaguely Lovecraftian, but that's a bit of a stretch. 

There's also supposedly a new Call of Cthulhu coming out on ps4 sometime this year, but who knows if it will actually get done anytime soon.