Based on his letters, Lovecraft seemed to be a big movie-goer, watching all sorts of films in his time. Off the top of my head, he gave favorable reviews to All Quiet on the Western Front, The Blue Light, and The Golem. But Lovecraft hated Universal's Frankenstein film because it marred the original novel, an opinion I share with him.
On a partially related note, Clark Ashton Smith generally disliked movies and rarely ever saw them, but he greatly enjoyed King Kong. I always wondered if his enjoyment of that film is what inspired his story "The Seven Geases", which was written shortly after he saw Kong. On top of all those Old Ones, the story also featured a subterranean cavern of dinosaurs menacing the protagonist.