I'll spoil my impressions of this book with two phrases, which will surely make some Lovecraft fans really angry:
Lovecraft loved to write, but not tell stories.
Lovecraft got paid by the word, and he really liked the money.
But before you come with pitchforks and torches to get me, let me explain the whole affair.
First off, the first story of the book is "At the Mountains of Madness" (because all stories are in their alphabetical order) and it really rubbed me in the wrong way: It does a good job setting the ambient for the story but when it reaches its crux, it starts to dragging down and the story pace goes really really slow, because at this point, Lovecraft decides that almost all -- if not all -- substantives must have a proper adjective. This doesn't help the pace at all. It's like a murder scene, when the murderer appears behind the poor girl and slowly walks towards her, except he's on the other side of the house and the whole thing is in slow motion. At the end, you start to hope that the murderer runs and kills the girl already, because the suspense is already over and the thing is already dragging itself out.
"But that's just ONE story!" you may cry. I agree with you in that, except the pattern appears everywhere. "Nameless sound", "sinister with latent horror", "clock's abnormal ticking". It goes on and on and on, apparently trying to scare you with adjectives instead of the story itself. There are so many of those dragging the pace down that I felt asleep more than once reading the book. Yes, you read it right: A book about horror stories put me to sleep. Also, it was the first time in my whole life that I got tired of reading; no, I didn't got mentally exhausted, I didn't get physically tired; I got tired of reading. It was the opposite of what I felt when I finished reading "Lord of the Rings": When the story ended, I wanted to read more; with Lovecraft, I wanted to read less.
Also, in general, Lovecraft managed to create his own little universe where his stories float around. Most authors would get this universe and expand it further and further, but Lovecraft manages to make the incredible feature of never expanding the universe, to the point that more stories actually diminish the universe instead of expanding it.
Not only the stories are not superb, but the editing leaves a lot to be desired. There are two or three stories written by Lovecraft in his childhood/early teens, which seem to be added to tell that Lovecraft loved to write since the early ages, but they are put without any editing or even grammatical checking, which does more harm to the author than help him.
Not that all stories are bad, some are good. But they are drowned in the world of stories that go nowhere that they are the exception instead of the rule.
In the end, you can think of this: You have heard about "Necronomicon", you probably heard about "Cthulu", you may have heard about the "Old Ones" -- and that's probably it. Of about 2000 pages of stories and a lot more words, only 4 got beyond Lovecraft stories.