You guys asked me to share with you my thoughts on Lovecraft after I got reading this huge 800+ page volume, as well as on other books I picked up from this one (mentions of books that influenced him). So here you go.
It was my first time reading Lovecraft and...wow. What Lewis Carroll started with a rabbit hole, H.P. Lovecraft stretched through aeons of years into the abysses of our darkest, most primal and cosmic horrors (in some cases tinged with obvious allegories to sex, like the images of the Old Ones being an almost anatomical likenesses of vaginas, or The Dunwich Horror oddly reminding you of a penis on a rampage). I'm still processing all of these pages I've read. What struck me was the atmospheric sense of other worlds. Lovecraft floored me with his spaces.
However, if you're a newbie, I wouldn't suggest you start with this book.
I didn't like what undoubtedly Lovecraft fans would revere—the annotations and the illustrations. Being unfamiliar with Lovecraft's work I wanted to read his stories without being interrupted, and the red text in the margins felt like interruptions. In a few cases the illustrations told me how a story would end before I figured it out on my own. Aside from that, a fabulous volume.
Next I'm reading House of Leaves by Mark Z. Danielewski.