I'm surprised nobody has mentioned
The Dream Quest of Unknown Kadath yet. That,
At the Mountains of Madness,
Herbert West: Reanimator and
The Call of Cthulu are the really long works he wrote (as in novella length instead of short story length; the guy idolized Poe) and
The Dream Quest of Unknow Kadath is my personal favorite Lovecraft story. It's dark fantasy, and if you read it, you'll understand a lot of what influenced Steven King while he was writing
The Dark Tower.
Just so you know, Lovecraft's stories fall into three general categories:
The Cthulu Mythos
The Dream Cycle
Standalone Works
The Cthulu Mythos is what most people think of when they think of Lovecraft. It contains stuff like
The Call of Cthulu,
At the Mountains of Madness, and
The Shadow Over Innsmouth.
The Dream Cycle is less known, but in my opinion, better. It includes things like
The Dream Quest of Unknown Kadath,
The Cats of Ulthar, and
The Colour out of Space. Instead of giant monsters, it deals with where we go when we dream.
The standalone works are just that, works that don't fit into his two big categories. They include things like
The Terrible Old Man and
Herbert West: Reanimator, the latter of which you may recognize as the story that the cult classic film
Reanimator was based on.
One last note: The Cthulu Mythos and the Dream Cycle exist in the same universe, and some stories have some cross over (for example, the plateau of Leng is mentioned in
At The Mountains of Madness as being something described in the Necronomicon, and it plays a big role in
The Dream Quest of Unknown Kadath.) The stories generally have a different feel to them, but they all take place in the same general universe.