I think Dale hit it on the head as far as his best story qua story; but the problem with that is that it may give you the wrong expectations to enjoy his other works. However, if you wish to start with the best, then yes, "The Colour Out of Space",
At the Mountains of Madness, "The Shadow Over Innsmouth", "The Call of Cthulhu",
The Case of Charles Dexter Ward, "The Music of Erich Zann", "The Cats of Ulthar", or "The Rats in the Walls" are all high on the list, and each is different from the others, thus giving you a broader taste of his work.
I would also personally suggest
The Dream-Quest of Unknown Kadath, as that has always been a personal favorite because of its dreamlike qualities and some passages of exquisite beauty, but many people find it not at all to their taste, and some find it outright boring. (Others, of course, find it to be among his best tales, so go figure....
) And I've also always been particularly fond of "The Shunned House" because of the way he weaves an air of verisimilitude and slowly growing menace by blending genuine history and folklore with that which he created himself, and one often can't tell which is which... and finding out may surprise you....