I started with the tomb, which I really enjoyed, but my favorite so far is called beyond the wall of sleep.
Most people start with Dagon or The Call of Cthulhu though
There is a free chronological anthology of his entire collection online
I agree with Loyal, most people start with Dagon or The Call of Cthulhu so you should start with those, I'm currently re-reading lol it's one of his longer short stories if that's alright with you
Nyarlathotep is really good too