There's several good collections available in paperback.
My suggestion would be
Tales of the Cthulhu Mythos since it also contains the work others have contributed to the Mythos.
Jerusalem's Lot by Stephen King is particularly good.
Also Robert E Howard, the creator of Conan, wrote several really good short stories that were collected in
Nameless Cults.
If Horror.com has a business-page with Amazon, go through that, I didn't know so just posted the straight links.
Ia Ia Cthulhu Fthagn!!
Cynner