At the Mountains of Madness... my favourite short story of his, and (along with some of Lovecrafts other work) was clearly the inspiration for 'The Thing'.
The thing I find so enthralling about Lovecrafts work is the sense of dread and terror that it inspires in the reader, the feelings are only hightened by the fact that most of the evil in his work is intangible and the descriptions of the really *awful* things that pervade his 'mythology' are left almost *entirely* to the readers own mind.
If you like Lovecraft and/or whole the Cthulhu 'mythos', then I can heartily reccomend 'The Call of Cthulhu', the RPG book. It's a huge wealth of background information.
Also, the collected Cthulhu Mythos cycle has just been released in a lovely leather bound volume from Gollancz (here, on
Amazon).