I'd say the best collections are the Omnibus 1, 2 and 3. They cover all, I think. They're not Chronological, so I'd suggest you start with Omnibus 2.. it consists of like 30-40 short stories (totalling like 500 pages). That one has The Quest of Iranon and many other of my favourites (..many who're at least equally good). The other two are like 15 stories each, but still 500 pages. Of the other two, I think Omnibus 3 is better than 1, simply because it has the classics The Call of Cthulhu and The Shadow Out of Time. 1 is not bad, of course.. At The Mountains of Madness and all.. 
