Lovecraft wrote one novel, The Case of Charles Dexter Ward, several novellas, and a lot of short stories for pulp magazines. Of his novellas, At the Mountains of Madness and The Shadow Over Innsmouth are the best. There are about 15 short stories that are good, and most are collected in The Best of H. P. Lovecraft: Bloodcurdling Tales of Horror and the Macabre by Robert Bloch, but also in other editions.
What made Lovecraft unique was his view of the universe as an essentially terrifying place, with the relative tranquility of human history existing in a temporary, fragile bubble of ignorance surrounded by an infinite ocean of seething madness. I've heard it described as "the horror of astronomy", meaning that the deeper you look into the universe, the more terrifying it becomes. Every time we gaze at the stars, or even dig into the earth, we risk popping that fragile bubble and destroying ourselves, and it's only a matter of time before we do.
I read these stories as a teenager, and recently reread them. I don't think Lovecraft was a very good writer, but he was a severely fucked up person, and seeing the world through his stories is an unsettling experience.
If you read one story, make it The Rats in the Walls.
While Lovecraft's way of sensing dread in the universe was one of his major gifts to literature, worldbuilding was not. The so-called Cthulhu Mythos was largely pieced together from fragments in various of his stories, and there isn't much evidence that he had an overarching vision for it in the way that Tolkien did. Lovecraft was writing quickly for magazine publication, not carefully and methodically. As reflections of his personality, his nightmare stories have a coherent feel to them, but I don't think that comes from careful engineering as much as having developed that voice as a writer.
Certainly, we know that most of the Cthulhu Mythos comes from later authors like August Derleth. Derleth was the founder of Arkham House, and published Lovecraft's stories posthumously for decades. He also added his own stories, and invited other authors to work in that shared universe. It was through these stories that the 'elder gods' of Lovecraftian cosmology were crafted.
In short, Most of what we think of as the 'Cthulhu Mythos' is fan fiction, and you won't find it in Lovecraft per se.