This compilation is a pretty good introduction to Lovecraft:
http://www.amazon.co.uk/gp/reader/01...pt#reader-page
Its got some pretty interesting and insightful commentaries/notes accompanying each story, which helps with some of the denser sections..
And yeah, the short stories are the best places to start - fairly quick flashes of weirdness that kinda linger in your thoughts like some half-remembered nightmare
