Wilum has said a lot of it there. But there is also the fact that Lovecraft's work and his life are inextricably intertwined; to fully understand either, you need to have a good look at both. In many ways, he is the epitome of that approach that a writer isn't writing on book, or a story, or a poem, or even a line at a time, he (or she) is putting a life on paper -- metaphorically, in many cases, but nonetheless doing so -- telling people "this is where I am today, and this is what it looks like"... they are, if they are genuine artists rather than solely simply entertainers -- giving a view of the universe through another's eyes, and thereby enhancing our own experience of life. With Lovecraft, there is so much that informs his fiction, but is not necessarily easily discernible in a shallow reading of it, because to make such overt within the context of the tales themselves would be to distract attention from that "unity of effect" for which he strove in his art. Yet, through knowledge of his letters, the facts of his life, his verse, his essays, etc., all these other aspects come forth and the work itself becomes all the richer for it; one begins to see the incredible layers of complexity and how that fiction genuinely relates to life and an understanding of real human beings, real emotions, real experiences, rather than being only a weaving of a fantastic tale (skillful as it may be).
And, quite frankly, Lovecraft was a fascinating individual, a mind whose like is extremely rare. His life was itself, in many ways, a work of art, one which continued to develop, grow, and put forth strange and beautiful fruit until well after the man was gone. One may disagree with his views; some of them may even be repulsive or offensive... but it is almost impossible to be bored with Lovecraft the man; and a good biography (and this is almost certainly the best that can ever be written... I do not at all think T. E. D. Klein was mistaken when he likened Joshi's biography of Lovecraft to Boswell's Life of Johnson in either skill or importance) provides a rich, albeit somewhat condensed, look into that life, as seen by a truly erudite, informed, and sympathetic (in the original sense of that word) writer of no small skill himself. It is a journey not to be missed....