I personally think the short stories make a really good introduction. Mostly because they tend to focus much more on evoking feelings than actually following a plot.

The first story I ever read was "The Nameless City". There is nothing particularly special about it, it's definitely not the best one, but to this day I really love it as an introduction, because at its core, it's a short summary of what "all the hype" is about: The awe and hopelessness in the face of something that's adjacent to humans, but much older and frightening.

Or, if someone wants to go straight to the meat, "Colour Out of Space" works wonderfully for a first time reader.... with the problem being that it's really fucking good and you can't get much better than that, so anything you read after will end up being judged against it.

But... if I had heard people hyping up Cthulhu my whole life as this unimaginable elder god, and read it as my first story just to have him >!being run over by a fucking boat and going back to sleep!<, I'd probably be like... really? that's it?