The Dream-Quest of Unknown Kadath is one of my favourite H. P. Lovecraft stories. It's not quite cosmic horror, and isn't what most people think of when they think of Lovecraftian fiction, but it's a really engaging fantasy story with some cosmic horror elements.
If you've read some of Lovecraft's more well-known works and want to see his take on a fantasy adventure, if you're looking for a lesser-known pulp fantasy story, or you just want to read an evocative and weird piece of fiction, I definitely recommend checking out The Dream-Quest of Unknown Kadath.
Randolph Carter (the only true recurring protagonist in Lovecraft's stories) is a lucid dreamer, and has the ability to explore fantastic alternate worlds in his dreams. Lovecraft's other stories imply that these aren't just dreams, but actual alternate realities that lucid dreamers can access.
Lately, Carter has been haunted by dreams of a city so beautiful he simply must find a way to dream of it again, but no matter what he does, he simply can't get there in his dreams. He thus sets out on a dream quest (say that again?) to seek out Kadath, the distant land of the gods of the dream world, who are said to have the power to grant Carter's wish.
On his journey, Carter encounters many strange and fantastical creatures, including talking cats (always a plus in any story imo), blank-faced "night-gaunt" monsters from Lovecraft's actual childhood nightmares, and ghouls, which Lovecraft helped popularize as a fantasy monster in western fiction.
One of the most interesting aspects of this story is all the characters from, and references to, Lovecraft's other works. While today we often talk about the "Cthulhu mythos" as this expanded universe of interconnected stories based on H. P. Lovecraft and August Derleth's writings, Lovecraft's stories were originally intended as one-off, standalone shorts. Only later in his career did Lovecraft start incorporating connections between his stories into his writing.
In Dream-Quest, Carter visits many locations that were featured in Lovecraft's previous works, such as the wondrous city of CelephaΓ―s, and Leng, a plateau region home to horrors beyond comprehension. He also meets certain characters that showed up in other stories, most notably the god Nyarlathotep, who is one of the only eldritch beings to act as the direct antagonist in multiple Lovecraft stories (not even Cthulhu gets that honour!).
If any of that sounds interesting to you, I highly recommend checking out the story. All his works are in the public domain, by the way. You can read them on hplovecraft.com:
'The Dream-Quest of Unknown Kadath' by H. P. Lovecraft