Re: Lovecraft's letters
How feasible? Difficult to say. It would be a massive undertaking, as what still exists would fill close to 100 volumes (unless I'm badly mistaken). There's also the fact of the legal questions about publishing some of this material, as the Lovecraft estate has been a tangled legal question for a very long time. Though finally settled some years ago, getting the rights to publish all of these might also be a massive (not to say expensive) undertaking, as well. However, a goodly percentage might still make it into print during my (or your) lifetime....
In the meantime, it seems that a fairly large-sized collection of such is published at least once a year, sometimes more (O, Fortunate Floridian and the Lovecraft/Derleth correspondence came out, iirc, within a year of each other, for instance, and both of those contain quite respectable amounts -- between the three volumes, they are almost as long again as the Selected Letters series....)