You know... I've got this idea about how to make really low budget Hellboy movies: make small scale horror films heavy on atmosphere that appeared to be just that; normal horror films, and then a third of the way or maybe a half of the way through the story the main character, an everyday person who has become ensnared by some sort supernatural happening, tries to get help and their communications are intercepted by the BPRD and soon after Hellboy shows up. The previous main character now becomes an assistant, a Dr. Watson type to Hellboy, and they face whatever the threat is.
That's the basic format of a lot of my favorite Hellboy short stories, but my idea is kind of predicated on the impossibility of keeping the fact that these are Hellboy movies a secret and one would simply go to the theater expecting a horror movie only to be surprised by the presence of Hellboy! Pretty much impossible in today's media landscape.