Well, he didn't write books, he wrote mostly short stories, and at most novellas. I haven't read all of them, by any means, and many of them highlight some pretty serious failings as a writer.
That said, the first story I ever heard of, read and still my favorite by far, is "The DreamQuest of Unknown Kadath." After that, "Call of Cthulhu" is good for a general overview of the way the rest of the stories run. "The Dunwich Horror" isn't bad as well, as a similar kind of story. "Rats in the Walls" is another. "At the Mountains of Madness" is kinda the classic, longer, later Lovecraftian story.