First off
https://www.hplovecraft.com/writings/texts/
This is an invaluable resource. Free as well.
Now there is a range of choices when it comes to Lovecraft collections in print.
The Barnes and Noble collection linked to by u/CaptGoodVibesNMS is a quality choice that is popular for a print collection. It is a nice hardcover edition, that I am looking at picking up myself.
I’m partial to the three annotated Penguin paperbacks that have footnotes by S.T. Joshi. They are a good size to tuck into a bag and easier to handle in comparison to the larger hardcover collections. I have these myself.
The Call of Cthulhu and Other Weird Stories
The Thing on the Doorstep and Other Weird Stories
The Dreams in the Witch House: And Other Weird Stories
Finally, while the website I linked you to first is pretty good sometimes having access to everything in an ebook form is very handy. Fortunately, this tends to be free or very cheap. The one I use is no longer listed on the the kindle store, but I believe this is the updated version of it