Ok so, I've been attempting a Lovecraft reread using this. However, it is a monster of a book and not very fun for casual reading, but the annotations really do help in understanding the cultural background of Lovecraft's work, along with some of the subtler links between his works. I'd honestly start with just a small collection of some of his more well known works so you can get a feel for him, and then read that book.
As for just some generally good stories, I kinda enjoyed the short story Nyarlathotep, along with most of the Randolph Carter stories (Randolph Cater was basically Lovecraft's self insert??).
(Also other people mentioned this already but just. brace yourself for Lovecraft's general racism, sexism, anti-semitism, and also his very anti-immigrant attitude.)