non fiction : "the Battersea poltergeist" , "Uncanny" and "the Witch farm" make for a good run, they sometimes avoid the obvious explanations to make an investigation more dramatic (and to me some bits are hammy) but it's entertaining enough
Fiction wise : Julian Simpson's "Mythos" drama is a good lead into his reworking of lovecraft in the multi part *Lovecraft Investigations". All well worth a listen if you have not tried them.
I'll think about if I have any others, I'm enjoying the recommendations here too!