The Nameless City
This story is generally considered to be one of Lovecraft's weaker pieces, due to its excessively florid language. However, I have always liked it despite these problems; the narrator's increasingly desperate attempts to rationalize away what he is finding are very compelling.
Overall ranking: 3 stars.

At the Mountains of Madness
One of Lovecraft's longer stories, and my personal favorite. This is one of Lovecraft's stories leaning farthest toward science fiction, surpassed only by "In the Walls of Eryx", in my opinion much the inferior story. This tale of Antarctic exploration and forgotten secrets builds tension almost throughout; the careful description of the narrator's thought processes as he wildly grasps for a suitably rational explanation for things which absolutely require a bizarre one is enthralling. Two bizarrely alien races are present in this story.
Overall ranking: 5 stars.