Also, i strongly want to recommend (although maybe not to a first time lovecraft reader) "Dream-quest to unknown Kadath", one of his longer dream-cycle stories. When i read the story it feelt like i had read a 1000 pages long book.
The best word to describe the story would be -epic-. The story even has some "heroism" which is unlike lovecraft, and combines Horror and Fantasy in great ways, the time span of the story feels so large, and as i said, it feels like you have read a 10 times longer story than it really was, atleast to me, and i was really satisfied. Has some great twists, and really unlike any other of his stories i read (although i havent read that much from the dream-cycle stories).
Highly recommended!