Here are some of the audiobooks I can recommend, with very brief explanations why I recommend them.
See also notes & reviews.
The Dark Worlds of H.P. Lovecraft, Volumes 1-6, short stories and novellas written by H.P. Lovecraft, read by Wayne June: June’s deep and dark voice is perfectly suited for gothic horror and creates a satisfactorily cosmicist atmosphere.
The King in Yellow, written by Robert W. Chambers, mostly read by Stefan Rudnicki, with a few parts (intros and interludes) by Gabrielle de Cuir: Difficult to explain, but Rudnicki’s narration sounds like a nineteenth-century fin-de-siècle voice. Unfortunately Rudnicki’s French pronunciation is not so good but at least there’s only a little bit of French in this book.