Crikey, how come I haevn't replied to a thread about HP Lovecraft?
Read all his work when I was about 18. Some of his horror was very memorable - "The Color Out of Space" still ranks to me as the defining moment of horror literature for myself.
Some of his short-stories were also very accomplished - I can't remember a lot of titles - such as a great one set on a U-Boat discovering R'lyeh (where dread Cthulhu dwells) was one. "Quest of Iranon" was a great piece of melancholic short fantasy writing.
Some of the story titles mentioned already are certainly very good - I'll add "The Dunwich Horror" to the list, and "Shadow over Innsmouth".
HP Lovecraft was an astonishingly under-rated author for his time. I've read a lot about him, though not an actual biolgraphy. At one point I actually sought out his influences - Edgar Allan Poe, Ambrose Bierce, Arthur Machen are names I remember reading (although only Poe was of any real note from what I read).
Yes, HP Lovecraft
Always thought about writing a novel in his mythos. It would have to be set in the 1920's, though, and I don't know enough of the period to actually write about it.