Reddit reviews The Encyclopedia Cthulhiana: A Guide to Lovecraftian Horror (Call of Cthulhu Fiction)

If you want Lovecraft ones there is The Encylopedia Cthulhiana.

There is a fantastic book by the title Encyclopedia Cthulhiana that has a bibliography with almost every single bit of mythos literature written up to 1998. Not only that, but it's a great reference guide to authors, places, creatures, books and really everything Mythos.

If you want a quick recommendation though, I loved Robert Howard's mythos stories. TED Klein wrote a fantastic novel called "The Ceremonies." and Brian Lumley's "Goatwood", "Necroscope" and "Titus Crow" books are all either very Lovecratian or a continuation of the Mythos.