Gollancz's leatherbound Necronomicon and Eldritch Tales collect everything in two beautiful matching editions.

What sort of illustrations/notes are you looking for? Annotations and drawings from other artists/authors? Or correspondences/notes and drawings from Lovecraft himself?

I have Necronomicon and Eldritch Tales that together cover the complete works. Necronomicon has all of the main fiction, and Eldritch Tales has some of the less popular/well-known stuff as well as some correspondence and notes. The hardcover editions have a very nice look and feel to them... although it looks like the hardcover of Eldritch Tales might be a bit hard to come by these days.

The order I would suggest would be:

The Necronomicon

• Dagon (Ch. 1)
  
• Herbert West - Reanimator (Ch. 2-7)
  
• The Lurking Fear (Ch. 8)
  
• The Rats in the Walls (Ch. 9)
  
• The Whisperer in Darkness (Ch. 10 - 17)
  
• Cool Air (Ch. 18)
  
• In the Vault (Ch. 19)
  
• The Call of Cthulhu (Ch. 20 - 22)
  
• The Color Out of Space (Ch. 23)
  
• The Horror at Red Hook (Ch. 24 - 30)
  
• The Music of Erich Zann (Ch. 31)
  
• The Shadow Out of Time (Ch. 32 - 39)
  
• The Dunwich Horror (Ch. 40 - 49)
  
• The Haunter of the Dark (Ch. 50)
  
• The Outsider (Ch. 51)
  
• The Shunned House (Ch. 52 - 56)
  
• The Unnameable (Ch. 57)
  
• The Thing on the Doorstep (Ch. 58 - 62)
  
• Under the Pyramids (Ch. 63)
  
  Eldritch Tales
  
  -History of the Necronomicon
  
  -The Alchemist
  
  -A Reminiscence of Dr. Samuel Johnson
  
  -The Beast in the Cave
  
  -The Poe-et's Nightmare
  
  -Memory
  
  -Despair
  
  -The Picture in the House
  
  -Beyond the Wall of Sleep
  
  -Psychopompos; A Tale in Rhyme
  
  -The White Ship
  
  -The House
  
  -The Nightmare Lake
  
  -Poetry and the Gods
  
  -Nyarlathotep
  
  -Polaris
  
  -The Street
  
  -Ex Oblivione
  
  -Facts Concerning the Late Arthur Jermyn and His Family
  
  -The Crawling Chaos
  
  -The Terrible Old Man
  
  -The Tree
  
  -The Tomb
  
  -Celephais
  
  -Hypnos
  
  -What the Moon Brings
  
  -The Horror at Martin's Beach
  
  -The Festival
  
  -The Temple
  
  -Hallowe'en in a Suburb
  
  -The Moon-Bog
  
  -He
  
  -Festival
  
  -The Green Meadow
  
  -Nathicana
  
  -Two Black Bottles
  
  -The Last Test
  
  -The Wood
  
  -The Ancient Track
  
  -The Electric Executioner
  
  -Fungi from Yuggoth
  
  -The Trap
  
  -The Other Gods
  
  -The Quest of Iranon
  
  -The Challenge From Beyond
  
  -In a Sequester'd Providence Churchyard Where Once Poe Walk'd
  
  -Ibid
  
  -Azathoth
  
  -The Descendant
  
  -The Book
  
  -The Messenger
  
  -The Evil Clergyman
  
  -The Very Old Folk
  
  -The Thing in the Moonlight
  
  -The Transition of Juan Romero
  
  -Supernatural Horror in Literature
  
  At The Mountains Of Madness
  
  The Shadow Over Innsmouth
  
  From there, you can also throw in The Dream Cycle if you like. There is a small amount of overlap with these books, but I didn't mind at all. Most of the stories that overlap are ones that I thoroughly enjoyed, so I just read them again. There are some stories from a few other authors thrown in, but as far as Lovecraft goes, it covers everything except for Old Bugs and Sweet Ermengarde
  
  I didn't include any of his poems in this, however most, if not all of his writings are public domain and can be found here. I just like having a physical copy because I like the feel of a real book.

This is an idea that is dear to my heart and I'm looking forward to running a pirate/naval adventure myself. I've got some inspiration ideas for you!

Books

These books should need no introduction. These are the books that will truly inspire your game.

• Necronomicon: The Best Weird Tales of H. P. Lovecraft
  
• Eldritch Tales
  
• Conan the Barbarian - The Original, Unabridged Adventures of the World's Greatest Fantasy Hero
  
• Grimms Complete Fairy Tales
  
• Tales of Norse Mythology
  
• Iliad and Odyssey
  
  

  TV Shows
  

• Crossbones - This is one of the most underrated TV shows I've ever seen. It got canceled late in it's first season and so the finale was rushed, but despite that it's an amazing show. This show has political intrigue and adventure ideas abound. I'd argue it's damn near required viewing for running any sort of pirate campaign.
  
• Black Sails - This amazing show is written as a prequel to the novel, "Treasure Island". It follows Captain Flint, and a young John Silver as they attempt to make an "honest" living while preparing to thwart the predicted demise of piracy. Swashbuckling adventures, intrigue and more adventure ideas here than I can count. The show is a hell of a ride and I can guarantee you'll get plenty of ideas watching this one.
  
• Vikings - This show is the show that just keeps on giving. The first two or three episodes are a little slow to start, but you'll be on the edge of your seat every episode thereafter. While this show focuses on vikings, there's plenty here to inspire a pirate adventure. It will especially inspire the creation of your villains.
  
• The Musketeers - This isn't that terrible (and oh so amazing) Disney movie from the 90's. This show focuses on the Musketeers you know of, and the Musketeers as a military unit during that time period. If you're focusing on adventures during something similar to the golden age of piracy, you need to watch this show. One of my favorites.
  
  

  Tabletop Books
  

  
  

• The 7th Sea - I am not recommending this as the system you should use, I am recommending it strictly as inspiration for your setting. It easily has the most interesting setting I've ever seen and has some amazing ideas for adventures dealing with curses, the sidhe, naval campaigns, city adventures, etc. Whether this will be useful to you depends entirely on your setting. Are you playing D&D on the high seas? If so, this isn't going to be nearly as useful. Are you playing in a setting reminiscent of the golden age of piracy with some light magical touches (eldritch horrors in the deep sea, curses, magical fey creatures and low magic for the players)? If so, good lord is this book (and the Nations of Theah books) going to be useful to you.
  
• Razor Coast - If you're playing D&D on the high seas, this is the book for you. It's a sandbox setting with a ton of adventures and adventure seeds. It is expensive, but it's worth every penny. Highly recommended.
  
  I can't recommend all of this enough. A lot of this will give you ideas and inspiration for all of your campaigns, naval/pirate or otherwise. Have fun!

Eldritch Tales: A Miscellany of the Macabre (published in 2011) is what I got, and Necronomicon: The Best Weird Tales of H.P. Lovecraft (Commemorative Edition) (2008) has all his other stuff.

It's not complete, it is missing the poems, and a few stories he did as collaborations. This and this, contain more than the one you've given.

I have all three, the complete fiction is a much, much nicer edition than the two I linked, and while it is missing the poems, it is still a great buy for the price. Also, you should buy the one directly from amazon, not the third party.

I bought the two big Gollancz Lovecraft books, Necronomicon and Eldritch Tales, a year or two back. Does anyone know how this stacks up against those in terms of completeness? Eldritch Tales includes many of the collaborations, the poetry and The Supernatural in Horror Fiction (which I think should be a part of every really good Lovecraft collection).

https://www.amazon.com/Eldritch-Tales-H-P-Lovecraft/dp/0575099631

https://en.wikipedia.org/wiki/Eldritch_Horror

Awesome! If it's your first Lovecraft story you're in for a treat. No one captures the fear of the unknown like Lovecraft did. He writes of entities unnameable and indescribable, hidden horrors so far beyond our comprehension that we are left to imagine (if we even can) what grotesque forms they could take. Expect to encounter ancient forgotten civilizations, cosmic monstrosities, alternative planes of existence, extradimensional deities, all of the above.

Lovecraft never wrote any novels, mostly poems, short stories and a novella. A great thing about them is that they are all interconnected. You would be best off buying an anthology. I highly recommend these two:

Necronomicon: The Best Weird Tales of H.P. Lovecraft

Eldritch Tales: A Miscellany of the Macabre