Reddit reviews A Means to Freedom: The Letters of H. P. Lovecraft and Robert E. Howard (TWO VOLUME SET)

Absolutely. If you're interested in the friendship between them, the collected letters between them have been published in a two-volume set by Hippocampus Press. They're 55 bucks together, but you can sometimes get them for less on eBay, etc.

http://www.amazon.com/Means-Freedom-Letters-Lovecraft-Robert/dp/0984480293
http://www.hippocampuspress.com/index.php?main_page=product_info&cPath=1_5&products_id=7&zenid=1cd889d3e25ff2304aff7d03300ab221

Some of Howard's best stories are set in the Lovecraft Mythos. Check out stories like "Worms of the Earth" and "The Black Stone." I'd suggest The Horror Stories of Robert E. Howard if you're like to read more, though most are available-ish in the public domain:

http://www.amazon.com/Horror-Stories-Robert-E-Howard/dp/0345490207

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

The OP specifically mentioned the hardback edition, which is going for $400-$450 on Amazon.

I agree that $36.38 isn't bad for the two-volume paperback edition, but even that might be beyond some people's means.

Or just go for Amazon; it might not be exactly cheap but it's not hugely expensive either.