The Complete Works of H.P. Lovecraft
Note that there are several different versions available on Amazon of Lovecraft's works; the quality varies dramatically, some being badly formatted, even missing whole paragraphs, with little in the way of italics or indexing. The link to the one above is the best version I've found to date.
HP Lovecraft's work can come across as a little dated; to jaded modern horror enthusiasts, his scares can seem somewhat insipid and cliched, especially in some of his shorter stories. His influence on modern horror writers cannot be denied though, with several masters of the craft openly acknowledging his works influence on theirs, among them being Stephen King, Clive Barker, John Carpenter, and comics writers such as Neil Gaiman and Alan Moore.
The collection above contains practically every story Lovecraft wrote. Over that length of time, naturally, there's some stinkers, and others which have dated badly, but some stand out as gems even now. Personally? I'd recommend the Color out of Space, the Shadow out of Time, The Shadow over Innsmouth, the Case of Charles Dexter Ward, and, of course, the Call of Cthulhu, the story which gave us his most famous character.
The price can't be beat; 99 cents for pretty much everything the man ever published, and worth much more just for the stories listed above.