When I roll a GOOlock, I play someone who's fully aware that they'll be driven insane eventually, and die a strange, potentially gruesome death. They consider that all part of the fun.
Sort of drawing on how I play a Sith Inquisitor in Star Wars: The Old Republic.
So basically you play a protagonist from a Lovecraft story - that's cool. For greater drama, I would put the Durge on top of it.
But seriously, I think in this game, you really can get a first hand lovecraftian protagonist experience, depending on decisions, classes and in the Durge case, backgrounds.