That's... a difficult question to answer, frankly. I have all of them (I think) but one... one which I don't believe was actually published, but various sources say it was --
Cthulhu's Dark Cults:
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If it was, then something went seriously haywire; for, despite the fact it was only released earlier this year, the listing at Amazon has it going for a rather... noteworthy price:
Amazon.com: Cthulhu's Dark Cults (Call of Cthulhu Fiction) (9781568822358): Shane Jiraiya Cummings, David Witteveen, William Jones, John Goodrich, Cody Goodfellow, Penelope Love, Peter A. Worthy, Oscar Rios, John Sunseri, David Conyers: Books
That aside, I have by no means read all of them (yet); in fact, I have read about a third or less at this point (for various reasons). However... ultimately, the answer depends on what you are looking for. If you are looking for first-rate stories, then I can't recommend them as a whole (though there are indeed some first-rate pieces in quite a few of them). If you are looking for some interesting takes on Lovecraftian themes, ideas, etc., then you will likely find more here to repay you for the effort. (There is, of course, no dearth of "traditional" Lovecraftian pieces as well, though there are less of those than one might suppose.) And, of course, Price's introductory material and notes are always fascinating and thought-provoking, as well.
Personally, I find that there is more than enough material in them which explores different layers of the Lovecraft concepts to suit my requirements; and even many of the poorer specimens have something about them which at least gives me a different spin on Lovecraft and his work to think about. And, as noted, some of the pieces collected in them are just darned good pieces of fiction.
As for which ones to go for... well, I would recommend
The Hastur Cycle, which explores the connection between Bierce, Chambers, and Lovecraft, and how this convergence split into two different approaches with Lovecraft's followers (and sometimes those of Chambers). This has several pieces I am sure you have ("The Novel of the Black Seal" by Machen; "The Repairer of Reputations" and "The Yellow Sign" by Chambers"; "An Inhabitant of Carcosa" and "Haïta the Shepherd" by Ambrose Bierce; "The Whisperer in Darkness" by Lovecraft); but also some not so easily found, such as "The River of Night's Dreaming", by Karl Edward Wagner, "More Light", by James Blish, "Documents in the Case of Elizabeth Akeley", by Richard A. Lupoff, etc. A somewhat uneven anthology, but with a considerable amount of very interesting material.
Mysteries of the Worm collects together all of Robert Bloch's shorter Mythos fiction (with the exception of "Black Orchid", which one could argue both ways, I suppose) and, with his novel Strange Eons, would allow you to see the entirety of his development of certain Lovecraftian ideas. (His fascination with Nyarlathotep presents the most well-developed handling of that particular entity which I believe has ever been done.) Go for the recent third edition, which brings together four previously uncollected tales.
Cthulhu's Heirs... well, it isn't edited by Price, for one thing, but rather Thomas M. K. Stratman, so you'll be missing Price's informative and thought-provoking essays. And the fiction here is particularly uneven. (STJ blasted this volume especially in more than one venue.) And yes, it deserves a fair amount of flak, but there are some items in here of interest. However, it is among the weakest of the batch, so perhaps one you might reserve getting until you've made up your mind on how you like the others.... (Also, I seem to be about the only person who likes "Watch the Whiskers Sprout", by D. F. Lewis, which I found to be, upon completing it, a very strange, bizarre, surrealistic, and quite fascinating -- if nightmarishly so -- piece, a very unique take on the whole Mythos idea. A word of warning about that one, though... the first time around, until I got close to the end, I really was getting impatient with the thing and feeling that I'd wandered into an utterly nonsensical piece of self-indulgence. It all came together toward the end, and then it clicked for me. It may or may not have the same effect for you.)
The Shub-Niggurath Cycle... a rather minor entry; very uneven, but with a few odd pieces which you may nonetheless find of interest. Again, I'd wait on that one. (I do, however, suggest "To Clear the Earth", by Will Murray, as well as his "Black Fire" in a later volume. These take on two very obscure Lovecraftian deities, Nug and Yeb, using hints from Lovecraft's letters for their nature....)
The Azathoth Cycle: This one has a good bit more promise. Not the strongest, but nonetheless a fair number of quite good pieces, and a series of very interesting takes on the concept of the Blind Idiot God from such writers as Ramsey Campbell and Thomas Ligotti to John Glasby and Stephen Mark Rainey. A bit uneven, but fascinating, I think.
The Book of Iod: As this gathers together all of Henry Kuttner's Mythos writings, it is sad that I must say it is among the weakest of Kuttner's writings. There are some very nice ideas here; some darn fine images... and a lot of corn. Ah, well, he was still learning his craft at the time....
Made in Goatswood (ed. by Scott David Aniolowski). A celebration of Ramsey Campbell's Mythos set in the Severn Valley. Again, uneven, but some fine pieces here nonetheless.
The Dunwich Cycle: Again, a lot you'll already have (selections from Machen, Lovecraft, and the like); but also a fair amount which is otherwise not available, including an earlier piece by W. H. Pugmire and Richard A. Lupoff's "The Devil's Hop-Yard". Somewhere in the middle as far as quality goes, when speaking of the newer works....
The Disciples of Cthulhu (ed. by Edward P. Berglund). This is a second, revised edition of an almost legendary anthology of Myths fiction from the 1970s. Some fine pieces here, and some definitely different takes on various concepts, including stories from Ramsey Campbell ("The Tugging"), James Wade, Walter C. DeBill, Jr., A. A. Attanasio, Eddy C. Bertin, and Fritz Leiber ("The Terror from the Depths") as well as a piece by Brian Lumley. Again, some very good pieces here, and a relatively few which are less interesting.
The Cthulhu Cycle: Again, a bit uneven, ranging from the sublime to the ridiculous; and also having a few pieces any Lovecraft reader is likely to have ("The Call of Cthulhu", Derleth's "The Black Island"); a bit above average, but not among the best of the set.
The Xothic Legend Cycle: Lin Carter. Need I say more? (Fun, and it does have his complete Dreams from R'lyeh sonnet cycle, but a rather negligible volume unless you happen to like Carter.)
The Nyarlathotep Cycle: Out of a volume of 239 pages, 100 are taken up with tales or poems by Dunsany, Lovecraft, Derleth, etc. The rest is newer material, which varies in quality.
Singers of Strange Songs: A celebration of Brian Lumley. (ed. by Scott David Aniolowski) If you like Lumley, you'll probably like this. If not -- avoid.
The Scroll of Thoth. Collects together all of Richard L. Tierney's tales of Simon Magus, except for one or two shorter tales (one of which is only available on the 'net these days), and his novel
The Drums of Chaos. A very interesting blend of Lovecraft and Howard with gnosticism and various other elements. Quite entertaining.
The Complete Pegana: all of Dunsany's Pegana tales in one volume. (ed. STJ)
That is where I stand at present... and most of these I read a few years ago. (I've been trying to get back and finish the set, but so far no luck.)
A few others are worth looking into:
The Antarktos Cycle has a lot of good material; the rev. edition of
The Necronomicon is quite interesting; the
Tsathoggua Cycle has all of Smith's Mythos writings;
Nameless Cults brings together all of Howard's work connected in any way with the Mythos; etc.
This should give you an idea, at least, to begin with. One other thing: with some of the volumes, typos are an occasional annoyance; but with some others, they are a persistent pain-in-the-neck. Be prepared for that aspect, as well....