This is the third in the Penguin "modern classic" Lovecraft trilogy (the other two I have read previously). Edited and annotated by S. T. Joshi (reknowned Lovecraft scholar) these are supposed to be the definitive texts of Lovecraft's work and his introductions provide fascinating insights behind the stories to the man himself.
To anyone new to Lovecraft, this is not the place to start. One would do far better with the first in this trilogy: The Call of Cthulhu and Other Weird Stories.
The quality of the stories is quite variable, particularly in this collection. Perhaps it has something to do with the fact that this collection pays particular emphasis on his "Dunsanian" phase, the era of his career when he came under his last great literary influence; Lord Dunsany. These stories are more like dark fantasies rather than horror and when writing in this mode he does not always successfully entertain, "The Doom That Came to Sarnath" being poor but "The Cats of Ulthar" being good for example. His writing in this vein culminates in the intense "The Dream-Quest of Unknown Kadath" which is both his ultimate effort in this mode and his statement that he wants to get back to more earthier subject maters, back to his roots. An intense and unrelenting descent into the world of dreams and nightmare that makes references to many of his other Dunsanian tales, one of only three novellas he ever published (the other two being in the preceding book in this trilogy).
More enjoyable for me are the stories where he explores old folklore traditions such as vampirism, witchcraft and demons. "The Shunned House" and "Dreams in the Witch House" were both great stories in this vein.
But of most interest to me are his science fiction stories where he attempts to incorporate (then) modern scientific themes (such as relativity, quantum mechanincs and multi-dimensional mathematics) into his stories. Usually the utilisation of some more extreme and esoteric theories unlocks some nightmare or comes dangerously close to revealing the horror that lurks beyond our thin veil of ignorance. Stories in this vein include "From Beyond", "Hypnos" and of course the great "Shadow Out of Time".
Lovecraft certainly isn't for everyone. His prose is dense, wordy and the narrative is packed with multiple layers of detail that will repay re-reading. Some people will find it heavy going and his horror is certainly less visceral than to some modern tastes relying on more subtle and gradual means of building up tension. But when he's on form, there's not many to touch him.