Lovely, that. Between that, Coleridge's "The Pains of Sleep", and Baudelaire's little bit from "Rockets" (the quote heading HPL's "Hypnos"), it's a wonder some people get any sleep!
One of the things I forgot to mention -- you folks may know this -- is that the exact dating of the writing of the piece is unknown, but speculation from the existing evidence would indicate it was done in the summer of 1921; HPL's mother died 24 May of that year, and he was (perhaps excessively) devoted to her; so I would say that his feeling of being an outsider (witness his letters of the period) was running very high at that point.
As to the overall question ... that depends. As Fritz Leiber noted long ago, true horror buffs are able to take such things in doses which would quickly sicken (or at least pall on) the average reader, such as "At the Mountains of Madness". But nearly all HPL's stories were extremely well structured, even when his writing would go over the top somewhat ("The Hound", "Herbert West -- Reanimator", come to mind, though there's a contention -- again, having some support from his letters -- that these are at least fairly tongue-in-cheek). And "Call of Cthulhu"'s structure is really quite complex; at one point I believe you have something like seven layers of distance (narrators) between you and the action, and yet it doesn't feel like that; if anything, it seems to add an even greater impact to it, more a feeling of verisimilitude; whereas if the (primary) narrator, Thurston, were telling of what had happened rather than relating what he has pieced together from disjointed sources, it would probably fall flat.
I must admit that some of his later stories have less of an emotional than intellectual appeal to me at points; perhaps because I'm too wedded to a somewhat traditional type of supernatural tale; but the difference is very slight; and chiefly rests with the "revisions", which he admitted he put less time and effort into. And it would be interesting to know just how much Barlow and how much HPL contributed to the final story he was connected with: "The Night Ocean". It's a fine, very subtle piece amazingly far away from most of Barlow's work to that point, but the one he wrote on his own just before that ("A Dim-Remembered Story") is remarkably good. "N.O." may be one of the finest pieces of HPL's career as far as adumbrating the weird element rather than approaching it more directly.
I wouldn't know what to suggest from my own experience; I began with an anthology that included "The Call of Cthulhu", my next experience was Derleth's The Lurker at the Threshold (which includes some, though not much, Lovecraft prose), and then I jumped right into At the Mountains of Madness and Other Novels from Arkham House, loving it all (at the uncritical age of 12; I still like Lurker, but compared to the real thing, it's not even in the same league, not to mention terribly off-base in capturing Lovecraft's vision). For most who don't mind reading horror novels to begin, I'd suggest, I suppose, The Case of Charles Dexter Ward as a beginner; for short story buffs, definitely the Arkham House The Dunwich Horror and Others. (Or, if the expense is too much, the Penguin paperbacks would be a good place -- each of the three has a fairly wide selection from throughout his career, as well as varying lengths.)
