This is an unusual C.o.C. campaign for several reasons. First off, all five adventures are episodes in a larger story. Also, despite being set in five distinct time periods and milieu, in a sense the Investigators are the same people in each, being linked across time and space. Third, the settings are highly unusual for C.o.C., which usually sticks to the 1920s, with some Victorian (CTHULHU BY GASLIGHT) and modern (CTHULHU NOW) adventures for the occasional change of pace.
The five settings are
(1) Lindisfarne, 887 AD, where the Investigator group is composed in equal parts of monks and of Viking raiders, who naturally enough find it hard to work together in a common cause.
(2) feudal Japan, 1287, where the Investigators are samurai and court officials sent by the shogunate to find out why one obscure remote village pays its taxes, in full, every year, year after year, without fail. I wonder if the Japanese of that era had a proverb equivalent to 'ignorance is bliss'.
(3) Valencia, 1487, where the Investigators start out as prisoners in the hands of the Inquisition, and things go downhill from there. This one involves a lot of running away (hence its new mechanic, a 'Chase Table', to judge whether or not those attempting flight succeed in evading pursuit), and even more not being able to run away.
(4) Roanoke Colony, 1587, where the worst of the Old World and New come together with horrific results.
(5) Arizona Territory, 1887, where the Wild West and Cthulhu horror come together in truly apocalyptic fashion: I don't think I've ever read an sequence of descriptions that matched the climax of this adventure for conveying this-is-the-way-the-world ends, with neither a bang nor a whimper but a scream.
All of these have in common one element: isolation. In most Cthulhu adventures Investigators don't call on the authorities for help because it'd be hard to get them to believe what was going on or because said Investigators don't want too much scrutiny of their own actions. In these they're well and truly on their own: allies are few and far between, and any authorities either hostile or wholly absent. I have to say that, overall, I was impressed: there's been an Azathoth campaign before, back in 1986, SPAWN OF AZATHOTH, but that was the worst of the classic Chaosium C.o.C. campaigns.* I do have to warn, though, that the adventures in RED EYE OF AZATHOTH are gruesome, violent, and unforgiving; it's a style of play that owes a lot to early PAGAN P. adventures,** and the body count in the major encounters in each scenario are likely to be high.
It's a polar opposite to the way I usually play Cthulhu, which emphasizes role-playing, exploration, and investigation and has a high Investigator survival ratio (though their sanity tends to fray after an adventure or two, and the occasional Investigator deaths tend to be spectacular when they do occur). But I think the authors pulled it off: if you like that style of play (and a lot of people do), RED EYE OF AZATHOTH is an excellent and sustained example.
I'd be interested in hearing from anyone who actually plays through these to find out how well they worked at the gaming table for your group.
*SHADOWS OF YOG-SOTHOTH  being by far the best, THE FUNGI FROM YUGGOTH  a worthy second place, and MASKS OF NYARLATHOTEP *** rounding of the top three; after this there's a falling off with HORROR ON THE ORIENT EXPRESS , an impressive project whose reach exceeded its grasp, and then SPAWN OF AZATHOTH, which was just a mess that reads like an attempt to re-hash MASKS.
Of course, if you go beyond Chaosium, Pagan P. produced not one but two superb campaigns: WALKER IN THE WASTES  and COMING FULL CIRCLE , which learn all the right lessons from SHADOWS and DAY OF THE BEAST and apply them with impressive results. Highly recommended.
**i.e., before they got swallowed up by DELTA GREEN, when they still did an interesting variety of settings & approaches). There's not a lot of Library Use here (though at times it's vital
***most aficionados rank MASKS the top. I don't agree. It's v. good; SHADOWS and BEAST simply happen to be better.
*a.k.a. Wolfgang Baur, The Monkey King, Kobold-in-Chief at Open Design, Editor of KOBOLD QUARTERLY, famed rpg designer, former editor of both DUNGEON and of DRAGON, and once upon a time fellow 'New Fish' at TSR with me in October 1991.