It really is difficult to answer that, as various stories "hit the spot" for different readers. However, I'd suggest the Penguin editions myself, both because they have a good selection in each volume, and -- if you like the stories themselves -- a lot of good additional material not available in most editions.
On the other hand, if you'd prefer to go with an older edition, I'd strongly suggest the Arkham House editions published frpm the mid-1980s on; if you're bent on getting the older paperback editions (which are often textually very corrupt -- sometimes enough to so quite alter the reading of a story in many ways), I'd suggest reading one of the "Best of" collections that has been put out. There's also the Library of America volume, which is a very good selection of his work; or
Tales, by H. P. Lovecraft, edited by Joyce Carol Oates (though I personally found her introduction more misleading than otherwise), and it excludes some of his best work....
Here's a good source for helping to decide what you're after....
HPLA - Sources of Lovecraft's Works
I see Nesa's suggested the online versions... like the earlier editions, though, those are frequently corrupt texts, so I'd not base my opinion on HPL on them, but they
are a handy available source....
