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Can't go wrong with the biggies to get started...
The Call of Cthulhu
At the Mountains of Madness
Shadow over Innsmouth
Herbert West, Re-Animator
I like the fact that even though he almost never explicity links his main antagonists together, you can't help but connect the various novels and stories together via their overwhelming sense of something dark and ominous, just outside our normal existence, trying to get in.
August Derleth went a little too far in trying to connect the whole mythos together IMO (his whole 'Elder Gods' vs 'Great Old Ones' setup is a bit corny), but some of the more modern stuff manages it quite while - the back story of the Elder Things, Shoggoths and the Cthulhu-spawn is quite neat.
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