[JaydedOne]

Dunwich Horror and Others seconded. It's the best introduction collection to his wor and contains numerous classics. There's also a fourth Arkham collection that's worth a look called The Horror in the Museum which rounds out the Lovecraft books. However, that book consists of works that Lovecraft "edited" or ghost-wrote for others, oftentimes revising to such an extent that the stories were more his than theirs in the end. However, they -are- ultimately collaborations and therefore not "pure" Lovecraft.