I have The Dunwich Horror, The Case of Charles Dexter Ward and a couple of volumes containing some short stories (The call of Cthulhu, Dagon, The thing on de doorstep, etc). I recommend starting with some tales just to get used to his style, the Call od Cthulhu and Dagon being some of the best to generate a solid first impression of his works and the feel of cosmic horror. His novels are really good and their athmospheres are great, the structure he used for his short stories is really good too, generating a lot of tension, mantaining it thorugh some pages using a lot detail and generally landing a blow at the very end. Bam!
Only thing I don't like about his works is the blatant racism he shows, of course, it's understandable for a man of his time, having in mind his family's background, how he was raised and how twisted his vision of life was (despite apparently being really brilliant). Also, he wrote about a time before his own, so he may have seen that it was "ok" to introduce such foul concepts. Tough, as boradis said, he was clearly showing his view of things through the narrator's voice and his character's sayings.