A Biblical scholar I enjoy is Robert M. Price. He is very well respected as a Biblical scholar, but he is also an expert on Lovecraft and writes horror himself. Not surprisingly, he is very knowledgeable about Gnosticism.
Some other examples I’ve heard of: Russell Kirk wrote ghost stories, but he was more famous for his influential political theories. Charles Williams is best known for his horror novels (or supernatural thrillers as T.S. Eliot described them), but he also wrote widely on many nonfiction subjects.
Thomas Ligotti and Quentin S. Crisp have both been highly influenced by religion and spirituality. They’ve both studied diverse topics, but I do know that they were highly attracted to Buddhism. As far as I understand, both had done spiritual practices such as meditation and so their interests aren’t merely in the abstract.