Another place to find stuff which may not be as "factual" as s the books
themselves is Chaosium and their game "Call of Cthulhu".
 For "Dreamlands" stuff I'dd reccomned you read the actual "Dream Quest of
Unknown Kadith" and "the Silver Key"

For quick facts, buy Chaosium's game 'The Call of Cthulhu' (not to be confused by the HPL story of the same name [which the 6th edition of the game's rulebook actually contains!]). Its pretty cheap, and contains a great concentration of info, enough to understand Biles' stories (No slight intended :)), and it was even enough for me to start writing my first Mythos stories (but they were, of course, utter crap, as any first Mythos stories will be.).

You just can't go past reading the actual stories, for the Mythos. 'The Dream Quest of Unknown Kadath' is unmissable for Dreamlands info, and an epic story in itself. As far as generic Mythos, try 'The Call of Cthulhu' as a starter, then go on to 'The Mountains of Madness', 'The Case of Charles Dexter Ward', 'The Colour Out of Space', 'The Haunter of the Dark', 'The Shadow Over Innsmouth', 'The Dunwich Horror', and more, and that's just for basics. 'The Dream Quest of Unknown Kadath' is unmissable for Dreamlands stuff, and an epic story in itself.

Many of these texts are available on the Net (for free too, I might add), and a good listing of those, along with a complete chronology of HPL's work, can be found at:
http://www.hplovecraft.com/writings/fiction/
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