The Korolev wrote...
Alright, so even though I know about Lovecraft and Cthulu, I am admitting that I have yet to actually read something he has written. I know, I fail.
Since you guys seem knowledgeable, is there any suggestions of what book/s I should start off with? Or which short stories/collection of short stories would get me started?
I'm not sure about short story collections, but I do know you can find everything he wrote online. It's actually free, I believe. Public domain or something. But if you want it in book form (easier to read that way, personally), there are a lot of collections of his stuff. I have a book called Waking Up Screaming that has a good few of his short stories, and a novella called "The Case of Charles Dexter Ward" (which I've seen for sale as its own book).
I would search a library or book store and see what's available. I wouldn't shell out any cash unless the book was pretty thick, because chances are, the stuff that's in a small book is also in a big book, and you could get either one for roughly the same price.