Well, to start with, there's no real "mythos". His friends, after his death, tried to create one so they could write stories in it, but he didn't really have one. His tales seem to share the same world, with ideas and concepts in common, but there's no real order (in any sense of the world).

As for where to start... any generic collection of his stories will probably have the best introductions: Call of Cthulhu, Rats in the Walls, The Dunwich Horror, The Colour Out of Space... he did almost all short stories, so it's easy to just sample here and there. One thing to keep in mind is how much influence he's had. As a teen, I rented audio versions of both The Rats in the Walls, and a Stephen King short story. To my shock, the King was almost identical to Rats in the Walls! Luckily I was already a Lovecraft fan, but it did turn me off of King for a bit

Once you're somewhat used to his style, definitely go for his one novel, In the Mountains of Madness. My favorite work of his, it starts with a scene of unspeakable horror and just builds.

A while back I was in one of the bigger book stores and saw a giant hardcover collection of Lovecraft stuff that included pretty much all of his shorts, Mountains of madness and Shadow over Innsmouth, along with a couple of draft versions of Innsmouth that were... interesting.

Cost me about $10. Worth every penny.

As for where to start with the cthulu mythos, Call of Cthulu is the place to start. Lovecraft's books aren't really in any sort of sequential order or anything. There are things mentioned in the various stories that tie them together, but the name "Cthulu Mythos" is kindof a misnomer, as Call of Cthulu is really the only book that deals directly with Cthulu. Lovecraft just liked to sprinkle little bits of things here and there. Re-referencing things in various stories that none of them ever fully go into. Probably gave it all the name "Cthulu Mythos" cause Cthulu is one of the few beings or creatures or whatever that actually HAS a name. Most of his stuff is written in the first person, so if the dude writing it doesn't know what to call something, it's just refered to as "that horrifyingly ancient creature that scares the ever loving shit out of me". To paraphrase.

Alright, cool, thanks guys.

The only down side to these type of cross-pollinated mythologies that go on for decades through different writers is that certain people/stories/things get referenced so often that fifty years later, you've heard them mentioned a thousand times in a variety of media and people can't figure out that it's not real. I'm sure there are people out there who think the necronomicon is a real thing, because it's easily the most referenced thing Lovecraft ever came up with. I'm not entirely certain that he's the one who came up with it, given that he and his buddies did so much referencing of each others' work.

I always thought that would be a cool thing to do with your movies too. Kinda like how QT and RR sometimes toss one of the others' characters into their films.