Er, you should be careful with Dunwich. There are (at least) 2 Dunwiches: the one you certainly don't want to point to is Dunwich, England
The King in Yellow isn't part of the mythos: its from Robert W. Chambers' stories around the late 1890s, predating the mythos by several decades. Though Lovecraft certainly read it, and adopted the theme of a book that drives men mad, he didn't explicitly include it in his stories. Unless later writers incorporated it?
August Derleth incorporated it. I don't believe it's in Lovecraft's stories anywhere, but he does borrow "Hastur" from Chambers. Also Lovecraft in his real-life correspondence used to state that "The King In Yellow" was inspired by the Necronomicon. Just some of his play-acting, of course. Derleth then took that another step and made the King in Yellow (the character, not the book) an avatar of Hastur. Chaosium played it up further in CoC if I remember correctly.-- Paul Drye
OK then. I think the name Hastur was originally from Ambrose Bierce, and what with Chambers. Derleth and Marion Zimmer Bradley's Darkover stories, he/it has certainly had a long career. Perhaps we could mark canonical Lovecraft characters from other authors - IIRC Dagon is actually an ancient Phonoecian fish god, and not invented by Lovecraft. -- Malcolm Farmer