Check out Arkham Investigator for a Lovecraftian take Sherlock Holmes: Consulting Detective. It's free to download (print & play) and there is also a full board game of it coming out in 2016.
I played the FMV version of Sherlock Holmes: Consulting Detective and quite loved it. Her Story did scratch that same itch for me.
There was also a semi-recently released board game called Witness that did something similar to the Sherlock Holmes game. It was based on a Belgian comic called Blake & Mortimer It was featured on http://www.shutupandsitdown.com/. (Haven't played it myself though)
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