My group has been discussing a Cthulhu game for the fall. We've settled on a pulp style - probably the middle of the road using the Pulp Cthulhu rules.
My comment that we could conceivably do a "Penny Dreadful Cthulhu" using the same rules - something of a crossover between a Cthulhu by Gaslight and a Pulp Cthulhu game.
I don't think it'd be a massive challenge - from a variety of sources I'm pretty well equipped for London of the 1890s and many 1920s scenarios can be done with little change. I am curious if anyone out there has participated or run such a campaign and if they've any tips, things to look out for, etc.
My own worry is one I have for Pulp Cthulhu in general - I want the investigators to be bad-ass but I still want the horrors of the Mythos to evoke a feeling of dread, characters dreading acquiring magic items and learning spells, etc. I think the Pulp Cthulhu rules are well designed for that but we'll have to take them for a spin. I look at settings like Deadlands and Buffy the Vampire Slayer for examples of tough characters who still must deal with some pretty horrifying opponents that are orders of magnitude beyond the heroes.