This is where to start: The Encylopedia Cthulhiana
It's a complete encyclopedia of every single modern reference to anything and everything Lovecraft. Best part? It has a complete Bibliography of all books considered part of the expanded Lovecraft universe including books that inspired Lovecraft, books written by his friends and contemporaries and nearly everything written since his death. We're talking hundreds of volumes.
That all said, if you are looking for a damn good book to read, I'm going to recommend the Colour Out of Time, a direct sequel to Color out of Space written by Michael Shea. He has a bit more of a modern style of writing, but he expertly captures the ebb and flow of HP Lovecraft. If you loved the original Colour Out of Space, you're going to love this book too.
There is a fantastic book by the title Encyclopedia Cthulhiana that has a bibliography with almost every single bit of mythos literature written up to 1998. Not only that, but it's a great reference guide to authors, places, creatures, books and really everything Mythos.
If you want a quick recommendation though, I loved Robert Howard's mythos stories. TED Klein wrote a fantastic novel called "The Ceremonies." and Brian Lumley's "Goatwood", "Necroscope" and "Titus Crow" books are all either very Lovecratian or a continuation of the Mythos.