This has absolutely nothing to do with propmaking, so feel free to skip over it if you're here for the goodies.
One of the features of Lovecraft's works I enjoy the most is his conscious effort to blend the mundane details of the real world with the fantastic. The monstrous experiments of Joseph Curwen in "The Case of Charles Dexter Ward" are all the more remarkable because of the believable historical background the story is built on. In the case of "At the Mountains of Madness", the slow reveal of the details behind the Miskatonic expedition to the Antarctic make the discovery of the city under the ice even more shocking.
I bring this up because one of Lovecraft's most fantastic stories takes place just minutes from my home here in upstate New York. What makes this particular tale so intriguing is that it starts as a short, non-fiction account of a dream, turns into a detective story, and then barrels along into reincarnation, mysterious disappearances, government coverups, and a crashed alien spacecraft. And it's all absolutely true.
I present to you "The Mystery of Brockett's Bridge". It will take some time to work through all the articles, but if you enjoy high weirdness it's well worth the effort. And before anyone asks, no, this isn't the starting point for an ARG. Although the material sure as heck would lend itself to that kind of thing.
Start off with "1864: ROSWELL IN UPSTATE NEW YORK?" by Joseph Trainor, from the December 9, 1999 issue of "UFO Roundup". Just scroll down to find the article.
After that, read "1997: CHEAP DETECTIVE", from the December 16, 1999 issue of "UFO Roundup".
Then tackle "THE MYSTERY OF BROCKETT’S BRIDGE DEEPENS", from the May 20, 2006 issue of "UFO Roundup".
You may be interested to know that the next town over from Dolgeville is Fairfield, NY. At least one of the town's residents, a professor at Barnett College, is rumored to have some experience with mysteries of this nature.
Update: Mr. Trainor speculates that the strange body parts featured in Lovecraft's dream may be from aliens fallen from the heavens. I would humbly suggest he's looking in the wrong direction.
One of the interesting things about Dolgeville is it's unique geology featuring discontinuous layers of limestone and shale, the result of a massive fold in the earth's crust. The place is absolutely riddled with interlinked caves that have never been completely mapped, and no one knows just how deep they might go. Several springs in the surrounding hills flow into natural sinkholes and simply vanish under the earth. Despite extensive dye testing no surface outlet for that water has ever been found.
Given the subterranean secrets of Lovecraft's works I think it's possible that creatures from beneath the earth, not aliens from space, were the source of Dr. Chester's mysterious blue bits.