Dagon

A perfect introduction to Lovecrafts work (Also one of his earliest)
Tells the story of a man during the Great War who comes into contact the the Great Old One, Dagon, and goes mad from it. It perfectly encapsulates lots of what people love from Lovecraft, the mythos, contact with a god-like horrific entity, fear of the unknown, strange occurrences, madness, the description of things too strange for a human to describe to another or even understand himself.
Overall an excellent short story, a quick read (only 6 pages in my edition! [part of a set]), and an excellent intro to Lovecraft.