Lovecraft produced a very uneven body of fiction, and it's unfortunate that you have come to him by way of an admittedly weak and plodding work. I generally direct readers new to the Cthulhu mythos to the shorts 'Pickman's Model' and 'The Music of Erich Zann'. If you enjoy those, move on to 'The Call of Cthulhu'*, and possibly the novellas At the Mountains of Madness and The Case of Charles Dexter Ward**. I also recommend the Penguin Modern Classics editions over the Library of America, for, while the latter is pretty, the former is extensively annotated by Lovecraft scholar S T Joshi.

* The H P Lovecraft Historical Society produced an entertaining filmic adaptation of The Call of Cthulhu in 2005: http://www.imdb.com/title/tt0478988/

** Of the stories I've listed, these last two are, I believe, the only ones in which Lovecraft indulges the same fondness for obscure words you encountered in The Shadow Out of Time.