The following is by no means an exhaustive survey of the field, but simply represents some favorites of both the editors and contributors. The cosmic horror elements range from the fleetingly light to the overt and overwhelming, with the one common element being they are all worth checking out.
Berserk
Claymore
Conan
Heavy Metal
Oglaf
Orion
Rat Queens
Red Sonja
“Sword of the Reanimator” by Junji Ito
Far Away & Never by Ramsey Campbell
The Necromancer Chronicles series by Amanda Downum
Griots: A Sword and Soul Anthology edited by Milton J. Davis and Charles R. Saunders
The Night Land by William Hope Hodgeson
Nameless Cults: The Cthulhu Mythos Fiction by Robert E. Howard, as well as plenty of individual stories, such as “The Slithering Shadow” and “The People of the Black Coast”
The Heretic Land by Tim Lebbon
Fafhrd and the Gray Mouser series by Fritz Leiber
“Masquerade of a Dead Sword” by Thomas Ligotti
The Dream Cycle of H. P. Lovecraft
The House of Cthulhu by Brian Lumley
The Throne of Bones by Brian McNaughton
The Elric Saga by Michael Moorcock
Jirel of Joiry by C. L. Moore
Sword and Mythos edited by Silvia Moreno-Garcia and Paula Stiles
A Land Fit for Heroes series by Richard K. Morgan
Imaro by Charles R. Saunders
In Yana, The Touch of Undying, and the Nift the Lean books by Michael Shea
The Collected Fantasies 1-5 by Clark Ashton Smith
Darkness Weaves, Bloodstone, and Dark Crusade by Karl Edward Wagner
Tales of the Dying Earth by Jack Vance
The Book of the New Sun by Gene Wolfe
Beneath Ceaseless Skies
Innsmouth Free Press
Strange Aeons
Carrion Hill (Pathfinder Module)
Cave Evil
Chaos in the Old World
Cthulhu Invictus (Call of Cthulhu supplement)
The Complete Dreamlands (Call of Cthulhu supplement)
The Dying Earth
Swords Against the Outer Dark
Black Knight Sword
Bloodborne
Crawl
Darkest Dungeon
Demon’s Souls/Dark Souls series
Diablo series
Dragon Age series
Eldritch
Heretic/Hexen series
Inquisitor
Lords of the Fallen
Planescape: Torment
Shadow of the Colossus