What's so great about Cthulhu?

[Commissar Sae]

I've never read Lovecraft, but I'd like to give it a try.
Do you need to start at the beginning of his boks to get the full effect, or can they be read out of sequence?

There literally is no sequence to his short stories. Some work better when you have read others however. About the only one I can recommend reading in any kind of order is to read 'The Shadow over Innsmouth' before reading 'The thing on the doorstep' because you get more of the implications from the later.