The new Weird Tales website has a complete S.T. Joshi interview (from June 2012), free online…
“The more you read Lovecraft’s letters and learn about his life, the more you realise what a pungent sense of humour he had. This doesn’t come out in his fiction precisely because he felt (rightly, I think) that humor doesn’t mix well with the kind of intense, clutching horror he sought to write. But he really had a good sense of humour, ranging from light-hearted buffoonery to biting satire.”
Actually I think in every fiction-story of Lovecraft is a subtle kind of humor. How else could he have written all his tales while being a full materialist at the same time? In fact, he seems to make fun of people really believing in the supernatural.
Because he loved “the colour and mystery of things”. He was fascinated by the breaking of cosmic laws – he didn’t believe in it – and that’s a difference.