The Shadow Out of Time

First published in Astounding Stories for June 1936, "The Shadow Out of Time" is Howard Phillips Lovecraft's last major story.

Nathaniel Peaslee is a professor at a university. One day during a lecture he begins to show signs of what others can only describe as a “nervous breakdown.” For the professor’s part, all he can see is a massive geometrically perfect sphere approaching him.
As the sphere swallows him whole, his mind disappears from his own consciousness. Years later he returns to his original state with no memory of what has happened.
In truth a race of time traveling aliens has possessed his body, and his mind has taken a place in their world. Upon awakening from his unconscious state he begins a quest to find out where he actually was. The answers he finds only create more questions. His journey to find these answers moves in unexpected and exotically thrilling ways...

The terror at the heart of "The Shadow Out of Time" is a concept far more horrific than the idea we are going to be attacked by anything from the physical world.
This tale written by the influential master of horror opens a door to a different type of fear—a fear born from the idea that something previously unknown can invade through the core of our being and leave us a zombie of a different sort, hat an unknown entity can take root in the soul of our consciousness and use our body for its own purpose.
Without a word of warning we simply stop being us.