If you want to educate yourself broadly in the genre via a sort of history/critical studies book, S.T. Joshi's book, "The Evolution of the Weird Tale" is really good. Each chapter in the book is devoted to a single key author, starting from back in something like 1880 through the present. I really liked that he not only places each author in the context of their times and of their contributions, but does so by addressing the whole of their careers, down to many analyses of even individual short stories. Yet it's not a thick or intimidating book.
Joshi is the best-known Lovecraft scholar by a large margin, and he makes a good case for his strong opinions on horror.
Figures covered include Robert Chambers, HP Lovecraft, Dennis Etchison, etc.
Another book you must read if you haven't already is Stephen King's Danse Macabre. It's a history of horror themes and horror in pop culture. Very insightful.
And finally, if you have an e-reader, you can get all of HP Lovecraft's books for free. Someone called cthulhuchick typed up all his stories, added a working table of contents, and put them out as a free kindle e-book. I dunno if it's also available in other formats. But it's great to have and it's obviously a huge labor of love. She was very attentive to things that many of the biggest publishing houses aren't -- you won't find typos, poor and unchecked OCR scans, etc. It's nice and clean and free.
I'd also suggest, if you're a Lovecraft fan or would like to be, and have an e-reader, that you download samples from as many S.T. Joshi books on him as you can find. His introductory essays are very good.
Also, a very famous book called The King In Yellow, by Robert Chambers, is in a free kindle edition on Amazon. The character created, and the evil theatrical play written of, went on to figure in many people who later wrote stories set in Lovecraft's universe or using bits and pieces of his gods, grimoires, and aliens.