Sorry, I missed this until just now, Harry.
I'd say At the Mountains of Madness might be my favorite Lovecraft overall, but it's on the longer side, so you might want to start with something shorter to see if his style and subject matter interest you. He's a pulp writer with a style that's sometimes overwrought, and hard for some people to read.
I think of Lovecraft as a writer like Philip K. Dick, who is more about the concepts than the execution. In other words, Dick and Lovecraft are top-notch "idea" writers but not such great prose craftsmen much of the time. Actually both were extremely smart, and capable of writing a nice sentence, but often wrote in a hurry for need of money.
Probably for this reason, many of the stories of Lovecraft and Dick have been made into movies, and many of the people who consider themselves fans of these authors don't actually read them a lot! This includes some of the "Lovecraftian" authors I know. I'm as much a fan of films like From Beyond and The Reanimator as I am Lovecraft's stories (though I really adored the stories when I was younger). You can ask twenty people for Lovecraft story recommendations and get twenty different stories suggested.
The HP Lovecraft Film Festival and CthulhuCon you mentioned, where I'll be a guest in about a month, is a great example of this crossover appeal. Lovecraft was a prose writer, but this event is about movies, books, video games, board games, comics, art, t-shirts and all kinds of associated stuff.