I'll have to check Berserk out, looks interesting. Agreed though, some anime has handled to themes so well I've been wildly impressed. In fact it looks as if Japan have taken lovecraftian themes and crafted it better than anyone else, even taking it up a notch and expanding on it and mixing it with other genres. I can't stand most continuations or imitations of lovecraft for the most part apart from a few writers, but in Japanese games and anime they really get it and take it up a notch. Devil man cry baby and Steins gate, even though the latter is wacky off the wall stuff have that distinct feel of dread and awe more so than A shadow out of time, innsmouth or the like.
Ah so if you haven't yet read through (and I mean the manga rather than the anime) I absolutely recommend Berserk.
Just to be sure, there are 2 main arcs to it which before a certain event and after this same event.
In the pre-event (and I'm being vague on purpose here) the cosmic horror / gore elements are slowly introduced to the story.
In the post-event it goes 100% into what I assume a Lovecraftian nightmare could look like.
The anime (the old one) only deals with the story up until this specific event, the new one might go past it but I haven't seen it yet, so the recommendation goes to the manga from my side.
Check it out, I think you'll see a LOT of connections to Bloodborne in specific