While I've sampled the book over many years, I'm finally reading Lovecraft's complete fiction (The Barnes and Noble edition) from beginning to end. It feels like I should have done this a long time ago, but better late then never I suppose. Some early stories had me doubting the wisdom of this enterprise, but I can honestly say it's been very rewarding to track Lovecraft's development as a writer. Favorites thus far include "The Outsider", "The Music of Erich Zann", and "The Festival". I'm about to start what most seem to consider his prime years with "The Call of Cthulhu".
Yes, keep going... I did much the same thing a few years ago, and while I'm sure there are people around here who could speak with more authority than me, I'd say that HPL definitely found his voice with Cthulhu. But more importantly, he found his vision.
I recently bought a copy of The Rim of Morning: Two Tales of Cosmic Horror by William Sloane. I haven't read it yet, but I'm definitely curious. It might be high on my list. ("Better than Lovecraft! We'll see...)