While not precisely Lovecraft, the writings of Clark Ashton Smith are similar in tone (and I think better in mood if not in plot). Try
http://www.eldritchdark.com
Edit: It appears that Eldritch Dark is the only place on-line where you can read CAS' stories, so there are no pre-packaged copies available for you. But it is easy to take the HTML source and create Mobi, ePub, or LRF books.
Smith was a friend and contemporary of Lovecraft (along with Robert E. Howard I believe) so you will find some of the same flavour in the "strange" tales of all three. Definitely check out some of REH's work as well.
Edit again: Obviously I meant some of REH's strange tales that don't strictly belong to the Chthulhu mythos.