In Letter 153, Tolkien says that the changing of the fates of Luthien and Tuor must have been a direct act of Eru (since such a thing was beyond the authority of the Valar). So we have at least two more examples of Eru's intervention, apart from the downfall of Numenor.
If one of the stories in the Athrabeth is to be believed, then Eru actually spoke to the first Men (as a voice in their hearts), before their corruption by Morgoth. It seems He was initially much more closely involved with Men than with elves.
Lastly, there is this very interesting quote, from the Athrabeth:
Quote:
'What then was this hope, if you know?' Finrod asked.
'They say', answered Andreth: 'they say that the One will himself enter into Arda, and heal Men and all the Marring from the beginning to the end.
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Surprising, indeed: the Athrabeth seems to be the only place in the entire mythology where Tolkien explicitly refers to his own religion.