Reddit reviews A Subtler Magick: The Writings and Philosophy of H. P. Lovecraft
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For criticism of HPL's works i would highly recommend:
Dissecting Cthulhu
A Subtler Magick: The Writings and Philosophy of H.P. Lovecraft
Lovecraft: Disturbing the Universe
or any volume in the Lovecraft Annual
For Biography on Lovecraft:
H.P. Lovecraft: A Life
...or the expanded version of the above I Am Providence
And Lovecraft's letters (edited and compiled by Joshi) are really the best way to get deep into Lovecraft, although I'll warn you, you really are reading HPL's conversations with his friends, so there is a tremendous amount of biographical detail, but not a terrible amount in the way of talk about his own work. Some of the best:
Letters to James F. Morton
A Means to Freedom: The Letters of H.P. Lovecraft and Robert E. Howard
O Fortunate Floridian: H.P. Lovecraft's Letters to R.H. Barlow
If you do not want to commit to the full length Joshi biography this might be a good alternative. An earlier, more compact version of Joshi's biography.