Pulpfest Jul 30 - Aug 1 in Columbus Ohio
http://www.pulpfest.com/PulpFest is a convention for readers and collectors of the old adventure and SF magazines from the 1910s through the 1950s. These stories started the stories of the Shadow, Doc Savage, Conan and of course featured the Cthulhu Mythos stories by H. P. Lovecraft along with a number of other authors who publsihed in Weird Tales. They have a number of seminars on different authors. Although, it is not devtoed totally to horror, there should be a seminar on HPL given by a small press company that has been reprinting stories from that time period.
Also, the dealers room is great and has a large variety of books, magazines, films and artwork. I was there last year and had a great time. If you are looking for a literary themed/collection convention, this is a good one. When I was there last year, I was able to add several Mythos-related items to my collections.