The first exposure to HPL was in a couple of issues of this old underground comic book called "Slow Death". I still have them in a box somewhere. Really cool, demented pen and ink artwork. After those, I started buying what I could in used book stores. Then when I had the cash, some of the Arkham House hardbacks.
That was of course before my whole "no more books" attitude that I have now. I love reading, but I don't purchase them anymore, as I'm sick of moving them around. In fact, I still have 10-boxes of them to donate...