As people have said, in terms of causing a paradigm shift for a genre, Lovecraft definitely deserves a bit of comparison with Tolkien. His
cosmicism helped turn horror dramatically away from purely physical and earthly fears and spiritual dread and opened up endless vistas and pitch-black gulfs of nightmare in which every hope and dream of mankind, from the highest to the low, is as insignificant to the universe and the potential alien powers that move through it as are an ant's to us. Powerful, unknowable things have come before and powerful, unknowable things will come again, with humanity's reign on Earth amounting to little more than a negligible blink of the eye.
However, Lovecraft's work and the inclusions of other authors into a "mythos" is largely an after-the-fact creation, not something meticulously planned throughout. You'll see many references peppered across different stories and in the works of different authors, but for the most part, it's not building up to any unified narrative. So in terms of a cohesive, premeditated book series, yeah, as Nydanna said,
The Dark Tower.
Horror in general probably isn't 'respectable' enough to really highlight another series without having to admit to its comparative obscurity, especially against
The Lord of the Rings or
Star Wars. That said, you might be able to make a case with the Universal Horror movie monsters, but then we're not talking about literature. Likewise, you could point to
Dracula,
Frankenstein, et al., but these are individual books you can give some credit to breathing life into particular monster stories, not actual series.