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The one that effected me the most was "Rats in the Walls" done as a radio play one New Years Eve, with the sound effects of the rats claws all the way through it. I was totally freaked and stayed up till dawn as I was so scared.
Hmmm..."the shadow out of time" has some good bits, although I think it is the silliest of his writings... "dreams in the witch house" is good too, as is "picture in the house".
I would heavily recommend reading some of the more modern stories also, the talents of King, Bloch, etc are stunning ! Del Rey books publishes some really great composites regarding Cthulhu...
Fortunately these are both in the book with At the Mountains of Madness that I just picked up. I had to buy it because the only copy the UCSB Library had was one of the Lovecraft books in Special Ccollections that went missing 5 years ago. It seems that dead Cthulhu no longer waits dreaming in his house at Ryleh. He has risen and is continuing his evil ways by stealing library books.