The interwar period - the 20s and 30s - is the classic Lovecraft setting, obviously. I've posted about that here and here. There's a lot of easy cliched material you can use - in America, flappers and gangsters and bootleggers, in England, Agatha Christie and P. G. Woodhouse. There's also a lot of deep political and artistic weirdness going on - modernism and futurism, fascism and communism - which contrasts interestingly with the whole Victorian adventure-fiction tradition, still very much alive and well at the time.
So on the one hand you have plucky British heroes stealing rubies from the eyes of Indian temples - on the other hand you have Ulysses and Italian guys writing odes to the motor car. The cool white cubist surrealism of Picasso and le Corbusier, which would come to define the aesthetic of the 20th century, vs. sailing ships and pagan death cults. Which is basically what Lovecraft is about.
Not that this story is about Lovecraft at all. But I've tried to capture some of the weirdness of the interwar setting and hopefully demonstrate why I think it's so productive for writers and game designers.
My first story, The Strange Fate of Captain Strathclyde, is still here if you want to read it again.
hi, i'm g. k. chestertonatheism is a nightmare, to me
also, japanese people are elves