The Doom that came to Sarnath and The Dream Quest of Unknown Cadath is great if you want to get into the extensive canon of H.P. Lovecraft's Dream World.
If you want to learn about the basic Pantheon it's relatively easy to find them by reading the stories named after the gods, Dagon, Call of Cthulhu, Azathoth, Nyarlathotep, etc. The Other Gods is a more obscure one that I really like.
For interesting, more personal tales about how these anomalies interact with our world, At the Mountains of Madness, The Music of Erich Zann, The Dunwich Horror, From Beyond, The Case of Charles Dexter Ward, The Whisperer in Darkness, and Facts concerning the late Arthur Jermyn and his Family.
Be warned, he was very much a man of the early 1900s, and he has some blatantly prejudiced author tract that reflects that. Other than that, though, the stuff he writes is amazing, trippy, and descriptive as fuck. Seriously, the man is a master of descriptions and the good kind of purple prose, even when he purposefully leaves things out. In one or two cases, I've seen him write off a being or vision as horrific and indescribable, only to go on to describe that thing in gross detail. That's like the literary equivalent of Genghis Khan invading Russia in the middle of winter and winning. Twice.
While this story isn't part of the mythos, I do think that Reanimator bears honorable mention, just because it's a very interesting and potentially disturbing story, even if it contains the most infamous example of Lovecraft being a racist.