I'd recommend the Lovecraft collection edited by Joyce Carol Oates. It's got a wide variety of his works, and its a good way to get a feel for him. There's also "The King in Yellow" by Chambers, which actually inspired the Cthulhu Mythos. Lovecraft was inspired by Chambers, and in turn inspired Derleth. Derleth helped to keep Lovecraft's stories from being destroyed after Lovecraft died, and wrote some of his own as well.
Hell, if you want something newer, Stephen King's works are FILLED with Lovecraft stuff.
