I think I remember "Shadow over Innsmouth" best. Maybe because I like it the best. No big revelations here (compared to Mountains of Madness), which is probably why the story works so well for me.
I rather do not Lovecrafts Dreamworld stuff ... whatever those stories were really called.
The funny thing for me is, two of the best ... somehow Lovecraft-influenced stories I like are not by him. There's "Shogoth's Old Peculiar" by Neil Gaiman, which is a short story and a wonderful parody of stories like Shadow over Innsmouth.
And there's the movie "In The Mouth of Madness" by John Carpenter.