"Pickman's Model" and "Cool Air" are both fun even though you can see the twists coming a mile away.
"The Rats in the Walls" and "Dreams in the Witch House" are both crackerjack stories worth reading, that haunt you after the fact, much like "The Colour out of Space"
But just look for all his stuff. He won't do you wrong. Unless its a collaboration, then it's kinda scattershot. Purists tend to ignore a lot of the August Derlith colabs, as their authenticity is kinda suspect. Derlith was his main publisher in life, and had indeed found a lot of "lost" stuff by him after his death, however, a good chunk of the work he supposedly did with HPL is not mentioned whatsoever in ANY of his writings (and Lovecraft wrote a LOT of stuff besides his stories, between essays, notebooks, and correspondences).