How far did you get? It's certainly a bit overbearing, but the perseverance is rewarding in my opinion. Certainly not among his best works, but a good read nonetheless, and an interesting break from the more starkly real horror of his later works. I actually believe that I derived more from it as a fascinating chronological divergence than from anything else though, it's certainly an interesting piece in his bibliography, and his use of connecting prior works to this is a simple touch that I quite enjoyed. As an independent, casual read, however, I don't imagine that it would fare as well.
Anyway, The Silver Key is the next enqueue in this compilation...after I'm done with this one, I'm going to have to inquire as to which other compilations I need to purchase in order to have all of Lovecraft's published works, because I know the three that I have from the Penguin series (The Call Of Chthulu, The Dunwich Horror, and The Dreams In The Witch House) are not all encompassing. I'm not sure how many are amiss, though.